Synthetic Iceberg Detector Application
The Synthetic Iceberg Detector add-on displays hidden volume as numbers on the COB column and as a number of hidden contracts on the heatmap. Bookmap generates the iceberg indications based on the difference between the actual pending orders offered at that price level and the actual number of orders that transacted at that price level.
For example, if the Synthetic Iceberg Detector displays 43, this signifies that 43 more contracts were transacted than were available in the order book at that specific time.
The display of the hidden orders on the COB is based on the chart viewable time range; i.e., the number of hidden orders displayed is the number of hidden orders identified during the viewable chart range.
In contrast, the display of the iceberg on the chart does not depend on a specific chart range and is placed at the relevant time and price on the chart.
Synthetic Iceberg Detector Interpretation
Traders can assess the possibility of hidden liquidity at certain price levels with the Synthetic Iceberg Detector. Since hidden orders are usually associated with the activity of more sophisticated players, traders may also use this information to assess possible short-term price action and areas of resistance or support.
Synthetic Iceberg Detector Settings
To enable the Synthetic Iceberg Detector, click the studies panel icon above the chart and check the Synthetic Iceberg Detector check box. Users can control the colours of iceberg indications for sell and buy orders.
Users can also set voice alerts for icebergs and apply an order size filter for the alerts. There are no settings for the Synthetic Iceberg Detector.
Synthetic Iceberg Detector Limitations
The Synthetic Iceberg Detector can only display hidden orders after the execution of those orders has taken place; it is not forward-looking. It cannot display hidden orders currently resting at specific price levels. As mentioned earlier, discrepancies are likely to occur on low-quality data.
Even on colocation servers, high-quality data and timing are very important for proper iceberg detection. We recommend starting from a setting of 5ms delay and testing the results. In fact, the best option to filter out some noise will be 0.5ms. For example, 50ms is quite a long time in the HFT environment.
Bear in mind, though, that in general, discrepancies will occur; this is the nature of the business and technology. To get very precise iceberg detection would require the highest quality data with a collocated dedicated connection directly at the exchange.
NOTE: Synthetic Iceberg Detector is not supported for dxFeed and BitMEX data.