Stops & Native Icebergs Tracker
What is it
This add-on tracks the executions of Stop orders and the evolution of Native Iceberg orders. Its main features are:
- 100% accurate detection of:
- Execution and tracking of Native Iceberg orders
- Executions of Stop orders
- The true size of the aggressor order (e.g. "trade reconstruction"). This includes the entire size of partially executed limit orders. The limit price of such orders also becomes known.
- Ability to apply order size filter on any of the above
- Instant computation and display of each update. Not once per minute or second, but whenever it happens
- Computes and displays the results from the moment of instrument subscription, not from the moment of enabling the addon
- Processes millions of market data events per second on a regular laptop. This allows to re-compute the indicator instantly whenever user changes the settings
- (An upcoming feature currently in development) Ability to create custom indicator lines with a couple of lines written in JavaScript. This short script has access to all the data including Stops and Icebergs info. The built-in lines (Stops and Icebergs) are also implemented as short JavaScript code and can be used as examples
Installation
Technical details: download the addon's jar file either from the download section in your marketplace dashboard or using the direct link. In Bookmap click Settings -> Addons -> Add, and add the jar file.
Background
Exchanges process orders in atomic manner which means strictly according to the order of their arrival to the exchange (unless it applies artificial speed bumps). Orders that can't be immediately executed (e.g., due to their limit price) become resting (or working) orders and form the order book. A new order can be matched against one or more or none of the resting orders. Because only the newly arrived (or newly replaced) order may initiate a trade, we call it the aggressor order, and its counterparties -- passive orders.
The trade object
A trade can be represented by a single aggressor order with a list of affected by it passive orders. Here are examples of such objects in JSON form:
{
"timestamp": 1553517589009337101,
"orderId": "645557118818",
"isBuy": true,
"isStop": false,
"orderSize": 7,
"passiveOrdersList": [
{
"orderId": "645557118724",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6222141269
},
{
"orderId": "645557118725",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6222061501
},
{
"orderId": "645557118733",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 5291476329
},
{
"orderId": "645557118734",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 5291466590
},
{
"orderId": "645557118735",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 5291403982
},
{
"orderId": "645557118740",
"price": 11234,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 4,
"lifeTime": 5283330257
}
]
},
{
"timestamp": 1553517571175695053,
"orderId": "645557115281",
"isBuy": true,
"isStop": true,
"orderSize": 4,
"passiveOrdersList": [
{
"orderId": "645557113818",
"price": 11234,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 260762777483
},
{
"orderId": "645557113822",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 260762748266
},
{
"orderId": "645557113831",
"price": 11234,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 260758484854
}
]
},
{
"timestamp": 1553516837968759321,
"orderId": "645557101905",
"isBuy": true,
"isStop": false,
"orderSize": 64,
"passiveOrdersList": [
{
"orderId": "645557101746",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6684971251
},
{
"orderId": "645557101747",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6684972179
},
{
"orderId": "645557101751",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6683991775
},
{
"orderId": "645557101753",
"price": 11227,
"tradeSize": 4,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 4,
"remainedSize": 0,
"lifeTime": 6683947717
},
{
"orderId": "645557101754",
"price": 11227,
"tradeSize": 3,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 3,
"remainedSize": 0,
"lifeTime": 6683426442
},
{
"orderId": "645557101765",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6681909924
},
{
"orderId": "645557101775",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6680682795
},
{
"orderId": "645557090167",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 58938807765
},
{
"orderId": "645557101788",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6677298222
},
{
"orderId": "645557101789",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6663871233
},
{
"orderId": "645557101790",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6663831348
},
{
"orderId": "645557101791",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6664338246
},
{
"orderId": "645557101792",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6664322014
},
{
"orderId": "645557101793",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6664290941
},
{
"orderId": "645557101794",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6663946826
},
{
"orderId": "645557101795",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6663919928
},
{
"orderId": "645557101797",
"price": 11227,
"tradeSize": 4,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 4,
"remainedSize": 0,
"lifeTime": 6663880508
},
{
"orderId": "645557101805",
"price": 11227,
"tradeSize": 3,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 3,
"remainedSize": 0,
"lifeTime": 6659504863
},
{
"orderId": "645557101806",
"price": 11227,
"tradeSize": 8,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 8,
"remainedSize": 0,
"lifeTime": 6659418603
},
{
"orderId": "645557101809",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6658736401
},
{
"orderId": "645557101810",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6658707183
},
{
"orderId": "645557101811",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6658664981
},
{
"orderId": "645557101812",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6657991127
},
{
"orderId": "645557101813",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6657969330
},
{
"orderId": "645557101814",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 6658602372
},
{
"orderId": "645557101815",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6658582431
},
{
"orderId": "645557101816",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6658561098
},
{
"orderId": "645557101817",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6659428806
},
{
"orderId": "645557101821",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6658584286
},
{
"orderId": "645557101822",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 6658570372
},
{
"orderId": "645557101484",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 24737767907
},
{
"orderId": "645557101684",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 9745074560
},
{
"orderId": "645557097906",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 58952449016
},
{
"orderId": "645557101319",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 32968388233
},
{
"orderId": "645557101211",
"price": 11227,
"tradeSize": 3,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 3,
"remainedSize": 0,
"lifeTime": 38806541808
},
{
"orderId": "645557101511",
"price": 11227,
"tradeSize": 2,
"isNativeIceberg": true,
"isCustomIceberg": false,
"totalTradedSize": 2,
"remainedSize": 0,
"lifeTime": 22761214588
},
{
"orderId": "645557101891",
"price": 11227,
"tradeSize": 1,
"isNativeIceberg": false,
"isCustomIceberg": false,
"totalTradedSize": 1,
"remainedSize": 0,
"lifeTime": 808857398
}
]
},
When a new trade occurs the addon creates such an object and computes some of its properties that are not directly included in the market data, e.g. Iceberg, Stop, the size of the aggressor order, etc. Then it's used to update the values of displayed lines.
The order size filter
Notice that the orders size filter refers to the order size, not the trade size. This is because traders are typically interested to track the larger orders and because the actual order size of all participating orders can be larger than their traded size in a particular transaction. This happens when a Stop-Limit order is only partially executed, when a limit order (especially iceberg order) was already executed earlier.
To summarize, after the trade object is computed, it is used to update the two cumulative-volume-delta (CVD) lines on the chart as following:
| Stop orders CVD | Iceberg orders CVD | |
|---|---|---|
| Affected by | Aggressive orders where isStop is true | Passive orders where isIceberg is true |
| Value | The sum of tradeSize of passive orders list | Its own tradeSize field |
| Sign | Positive if isBuy is true | Positive if isBuy is false |
| Order size filter applies on | orderSize of the aggressor order | totalTradedSize + remainedSize of Iceberg orders |
Versions changelog
2.2
Published on 11-June-2020.
- Fix: a false alarm about non-MBO data
- Fix: Default color button
- Improvement: updates notification mechanism (see status in the settings panel)
- Fix: crash when inheriting chart settings from another chart