What it is
This add-on tracks the evolution of Iceberg orders and the execution of Stop orders. It shows precisely when and at what price Icebergs are detected, traded, fully executed or cancelled, and also shows executed Stop orders trades on the main Bookmap chart. It is an additional indicator that can be loaded separately or with Stops & Icebergs Sub-Chart Indicator.
- Accurate detection and tracking of Iceberg and Stop orders
- Demonstration of icebergs that are partially executed and still ‘live’
- Filters stops and icebergs by traded size
- Instant computation and display of each update as it happens in real-time
Watch a brief intructional video to learn about the the indicator, its installation, settings and use.
The addon works with CME MBO Rithmic real-time data only (in non-aggregated mode). The addon is part of the MBO Bundle.
Understanding Iceberg Orders
Iceberg orders are buy or sell limit orders that have been divided into smaller limit orders to hide the total order quantity. The term "Iceberg" comes from the fact that the visible lots are just the "tip of the iceberg", given the greater number of limit orders are not visible.
To install the Stops & Icebergs On-Chart, follow these steps:
- Download the Addon
- Launch Bookmap version 7.1.0 b63 or newer and subscribe to at least one Rithmic instrument
- Click the API plugins icon to open the API plugins configuration panel (or Settings → API plugins configuration)
In the API plugins configuration, click the “Add” button and then select the.jar from the “Select addon file...” dialog window, click “Open,” and then “Load.”
- The Stops & Icebergs On-Chart will appear in the list of available plugins.
Icebergs Visual Appearance
Icons on the chart that are connected to trade dots indicate the price area where this volume was traded. The direction of the icons shows the order type: up for sell icebergs and down for buy icebergs.
The letter shows the type of the event:
D - Detection, an iceberg was detected here.
T - Trade was executed against one of the icebergs here.
E - Execution, an iceberg was fully executed here.
C - Cancellation, an iceberg was cancelled here.
The number shows the volume. The number in brackets is the traded volume for the specific event. A number without brackets is the total traded volume for an iceberg.
The icon on the right side of the timeline indicates that the Iceberg order is still active. The position shows the current price. The number near the active order icon shows the total executed order volume without brackets and the last trade volume in brackets.
With both icons, you will see a thick horizontal line, marking a price on the chart where the order was active. If this line changes its orientation to vertical in some places, it means that the iceberg order was moved to another price level here. All event icons are pinned to that line with thin vertical lines.
Stops Visual Appearance
A stops chain is highlighted with a bold vertical line that shows the price area of the stop run, with an icon pinned to it, showing the total volume of trades within that chain.
The direction of the icon shows the type of chain: up for buy stops and down for sell stops. The offset direction is inverted as compared to icebergs because an iceberg is usually (but not always) on the passive side of a trade, while stop trades are always aggressive.
Unlike icebergs, where each iceberg order is shown separately, a stops chain may include trades from several different stop orders triggered within the same stop run.
The addon has separate settings for stops and icebergs detection. You can show/hide specific orders type by clicking the Show stops/icebergs checkbox.
The size threshold for icebergs sets the total order traded size filter. Only orders where the total traded size is more or equal to the selected value will be indicated on the screen.
Note that only already traded volume is taken into account; the total order size for the iceberg could be much bigger. With this option, you can filter out smaller trades.
The size threshold for stops works similar to the icebergs size threshold, except it considers the size of the whole triggered stops chain, which may include more than one stop order.
🆅 buttons give you access to detailed settings panels for stops and icebergs accordingly.
Under the settings panels, you can find the name and version of the addon.
Icebergs Threshold Settings
Apply threshold to the active icebergs - option to hide/show small, partially executed icebergs.
Automatic size threshold checkbox enables automatic calculation and update of Size threshold. When automatic mode is on, the size threshold is recalculated once per minute, and on every threshold settings change.
So, how is the size threshold calculated in automatic mode?
SD is standard deviation https://en.wikipedia.org/wiki/Standard_deviation.
SD interval - interval in minutes back from the current moment when we pick icebergs for SD calculation. Only visible total executed volumes on the interval without active orders are included in the calculation. If you hide some execution or cancellation icons, that will affect the threshold calculation. In other words, we calculate the threshold only on events with the total volume that are visible on the chart.
SD multiplier - multiplier used for calculation in the formula below.
Average - average iceberg size on SD interval.
The formula is Size threshold = Average + SD * SD multiplier.
What does this mean? In short, in automated mode with SD multiplier = 0, you will see icebergs of average size and above. If you increase the SD multiplier, the size threshold grows, and only bigger icebergs stay on-screen while smaller ones are filtered out.
Icebergs Alerts Settings
Enable alert checkbox enables voice and text alerts when active iceberg traded size crosses filtering threshold for the first time.
Alert template text field below sets text template for alerts.
? button shows list of available templates:
- $INSTRUMENT - full instrument name
- $INSTR - instrument name without @exchange part
- $SIDE - buy or sell
- $PRICE - current price of an iceberg or volume weighted price for stops chain
- $VOLUME - current traded volume of an iceberg or total traded volume for stops chain
- $THRESHOLD - current volume threshold
Reset button resets alert template to default. Example field shows example alert text for current alert template. Test alert button plays test alert using text from example field.
Icebergs Visual Settings
Show icons checkboxes - you turn on/off specific icons.
Icons text settings checkboxes - allows you to control the text near the icon:
Show event type - shows event type letter.
Show event volume - shows individual event volume (number in brackets) for Detection and Trade events. Detection has some volume, too, because we can detect that the order is an Iceberg only after the trade. Hence, detection volume includes the volume of all trades on that iceberg before it was detected.
Show total volume - shows total traded volume (number without brackets) for icebergs that are totally Executed or Cancelled or still Active.
Sells and buys colour are colours of corresponding iceberg orders lines and icons.
Icons size is the size of iceberg icons.
Icons offset controls the distance of icons from BBO.
Order line width is the width of the order price line.
Offset line width is the width of dashed vertical lines that connect event icons with their order price line.
Price aggregation (vertical) and Time aggregation (horizontal) set the size of the rectangle area around each iceberg icon in which all other iceberg icons will be aggregated into one. Numbers here are basically multipliers for icon width and height, correspondingly. So, if you set, for example, price aggregation = 2 and time aggregation = 4, the resulting aggregation area would be a rectangle with sizes 2* (icon height) and 4* (icon width) with the centre in the middle of the initial icon. If both parameters are set to 1, the aggregation area completely matches icon size, so only overlapping icons would be aggregated. We use a volume-weighted algorithm for the positioning of aggregated icons. Therefore, if several icons were aggregated into one, the resulting icon would be somewhere in the middle between all initial icons. Its volume would be the sum of volumes of all initial icons.
Stops settings are similar to icebergs settings, except that stops settings have fewer options because, for stops, we have only one event type - stop trade.
- The addon works with CME MBO (Market by Order) data provided by Rithmic. See the screenshots below to learn how to configure Rithmic connectivity:
- The volume number on the Cancellation event shows the total traded size for the iceberg before it was cancelled, not the remaining iceberg part, which is unknown.
Telegram Notifications Guide For Stops & Icebergs On-Chart
To start getting Telegram notifications in Stops&Icebergs On-Chart, you need to implement the following steps:
1. Get Started
- Install the Telegram Desktop application https://desktop.telegram.org/ and create an account in it.
- You can also use web or mobile versions of Telegram, but we recommend using the desktop version for better user experience during the configuration process.
2. Create a Telegram bot
- Open this link in your Telegram application https://t.me/BotFather and follow instructions.
- Send “/start” message to start working with bots management bot.
- Send “/newbot” message to create a new bot.
- Choose a name for your bot by sending it in a new message.
- Choose a username for your bot by sending it in a new message. Username should be unique and must end in
- When your bot is successfully created, you will get a message with an access token for this bot. Copy this access token to Bookmap.
3. Obtain the Chat ID where you want to get notifications
- Enter your Telegram account to which you want to get notifications.
- Open this link via Telegram https://t.me/get_id_bot.
- Send “/start” message to start working with the bot.
- Get your chat ID from the bot's response.
- Copy it to Bookmap.
4. Start a conversation with your bot
- Open the link: https://t.me/your-bot?start=subscribe in Telegram. “your-bot” is a placeholder for the username of your bot.
- Send “/start” message to start a conversation with your bot.
5. Run A Test
- Click the “Test” button on the Telegram configuration panel to make sure that everything is configured properly.
- You should receive a test notification message in Telegram from your bot if everything is OK, or an error message describing the problem otherwise.
6. Enable Telegram notifications
- Enable Telegram notifications by checking the “Enable Telegram alerts” checkbox on icebergs or stops alerts settings panel, or both.
Stops & Icebergs On-Chart FAQ
Does it include the CVD sub-chart line?
SI Sub-chart is part of the bundle, but it is a separate add-on for the CVD indication on the bottom chart. Stops&Icebergs On-Chart is only the individual stops and icebergs visualisation on the main chart.
Why do I see different values between SI On-Chart and SI Sub-Chart?
First, make sure you use the SI On-Chart and SI Sub-Chart latest version.
Also, note that the volume calculation logic is different in Sub-Chart and On-Chart Icebergs Indicators. For a more reliable comparison, configure indicators in the same way:
- Disable filtering for SI Sub-Chart and set the ‘Accumulate as’ parameter to SUM.
- Set threshold for SI On-Chart to 0 and select individual icebergs events only.
- Now it is time to zoom in and compare the volumes. Note that the engine works differently, and SI Sub-Chart does not include some detection events.
Why doesn’t it include the CVD sub-chart line? I liked being able to read the context of the history.
You should use the Stops & Icebergs Sub-Chart Indicator for the CVD indication on the bottom chart. Icebergs Indicator is only an Icebergs visualization on the main chart.