Support Board
Date/Time: Sat, 30 Nov 2024 00:58:25 +0000
Post From: Identifying StopLoss and Iceberg Orders via CME MBO Data
| [2021-07-17 18:47:31] |
| User263664 - Posts: 23 |
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From the CME website: Iceberg OrderIDs Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order. When CME Group-held iceberg orders (referred to as native icebergs) have displayed quantity refreshed, the refreshed order will have the same OrderID as the original order. For those concerned this function gives other participants greater ability to detect presence of iceberg, we recommend evaluating third party offerings that include ISV-held iceberg orders (synthetic iceberg where total quantity is managed off-exchange by ISV server). Refreshed quantities from these systems are treated as new orders to the exchange and receive a new OrderID. CME Direct will add synthetic iceberg support in the August 2017 release. Source: https://www.cmegroup.com/education/market-by-order-mbo.html |