Strength Level Indicator

Overview:

• Part of Global+ package, displayed on the upper chart, with Underflow and Resistance modes.

  • Underflow: Analyzes the order book quantity and transaction sizes. When a transaction exceed the order book’s liquidity, it’s inferred as an iceberg order. It might not work on some data sources as it relies on depth data being aggregated.

  • Resistance: Identifies the time between trade and addition to the order book post-transaction. Users can configure the time delay post-transaction and set a minimum size filter. With small delay value and high-quality data, results may resemble those of Native Iceberg, although this option is less reliable than Native Iceberg＊.

The Strength Level Indicator is compatible with multiple data providers and exchanges. Detection quality hinges on both your market data provider and the event sequence received. Due to data inaccuracies and the algorithm, false positives, like unrelated size increases following a trade, can occur. Even if these instances are coincidental and from different users, the algorithm might interpret it as a Strength Level.

＊Native Iceberg, part of the Stops & Iceberg Tracker add-on within the MBO bundle, can be purchased on the Bookmap Marketplace. It solely tracks CME MBO data and is currently supported by Rithmic.

Such icebergs are iceberg orders directly managed by CME exchange. The Stops & Iceberg Tracker shows the executed iceberg segment, viewable on the bottom Indicator Panel. For more information, visit the MBO Bundle page.

Application

The add-on displays the number of hidden contracts on the heatmap. Bookmap generates the iceberg indications from the disparity between the displayed pending orders at a price level and the actual transacted orders at the same level.

For example, a display of 43 on the indicator means 43 more contracts were traded than what was shown in the order book at that moment.

In contrast, the strength level’s representation on the chart isn’t tied to a specific chart range; it’s positioned at the relevant time and price on the chart.

Interpretation:

The Strength Level Indicator allows traders to gauge potential hidden liquidity at specific price levels. 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.

Settings:

To activate the Strength Level Indicator, check the box in the Studies Panel above the chart.

• Users can customize indication colors for sell and buy orders.
• Voice alerts and order size filters can be configured for alerts.

No specific settings are available for the Strength Level Indicator.

Limitations:

The Strength Level Indicator only shows hidden orders after their execution; it doesn't predict future orders. It won't display hidden orders still resting at certain price levels. As highlighted, inaccuracies are more common with low-quality data.

Even with colocation servers, high-quality data and accurate timing are crucial for accurate iceberg detection. A starting point could be a 5ms delay, but a 0.5ms setting may be optimal to reduce noise. For context, 50ms is relatively long in high-frequency trading (HFT).

It's essential to understand that discrepancies are inherent to this technology and industry. For precise iceberg detection, one would need top-tier data and a direct connection at the exchange's location.