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X_TRADER®

Iceberg Orders

You are viewing X_TRADER Version 7.17 and higher. For earlier versions, click here

An Iceberg order executes a large quantity into smaller disclosed orders. When one disclosed portion fills, the next portion is sent to the market. This process continues until the order is filled. You may set a variance percentage so that the quantity of each disclosed portion is different.

Order Pane 

The following screen shots illustrate an Iceberg with a goal quantity of 500 and a disclosed quantity of 50. The variance percentage of 20 discloses child orders into the market with individual order quantities randomized between 40 and 60.

 

Note: X_TRADER automatically corrects parameter fields that contain invalid values. When this occurs, the child orders are recalculated and display with a yellow background in the Preview Grid.

MD Trader

The following screen shot illustrates a native Iceberg with a goal quantity of 500 and a disclosed quantity of 50 placed in MD Trader.

Native Iceberg in MD Trader

Orders and Fills Window

The Synthetic SE submits a child order (line 1.1) to the market with a working quantity of 50. The parent order (line 1) displays a working quantity of 50 and an undisclosed quantity of 450. The synthetic SE continuously monitors the order for fills and will not release the next child order until the 50-lot is completely filled.

Synthetic Iceberg in the Orders and Fills Window

Rounding

For products that trade in round lots, if the calculated disclosed quantity results in an odd lot, it rounds up to the closest round lot. Also, when using a percentage of the total order, an Iceberg order may result in fractional lots. If this occurs,X_TRADER executes your order according to the following rules:

  • If the order is n<1, it rounds up to 1.
  • If the order is <n.5, it rounds down.
  • If the order is >n.5, it rounds up.

Placing Icebergs using the Market Window

To place an Iceberg order...

  1. Click in the appropriate expiration/strike row on the bid or ask side of the Market Grid to seed the Order Pane with a contract.

  2. Set a goal quantity.
  3. Configure routing using the Routing Configuration dialog.

    Note: You can setup routing rules and customer profiles, or use the <Default> profile. Refer to Creating a Customer Defaults Profile.

  4. Use the Price Mode section to set how to price each child order portion that will be submitted to the market.

    Note: Refer to Price Mode for more details about this topic.

  5. Click the Advanced Settings drop-down and select Iceberg.

  6. Set the Disclosed portion viewable to the market.

    This is either a percentage of the total goal quantity or a fixed number.

    Note: Click the % button to toggle between % and Qty.

  7. Set a Variance % if you would like to vary each disclosed order portion.
  8. Preview the proposed child order portions in the Preview Grid.

  9. Click OK once you have configured the sliced order settings.

    Note: Left-clicking outside the Advanced Settings dialog box also saves your configured settings.

  10. If this is a native Iceberg, click Override Native, if you want the order to be managed by the Synthetic Strategy Engine.
  11. Click Buy or Sell once you have entered the desired order parameters to submit the sliced order.

Placing Icebergs using MD Trader

To place an Iceberg...

  1. Configure Iceberg order parameters.

    • Create an Order Template using the Order Defaults window.

      - or -

    • Enable ICE (Iceberg) and set the Default Disclosed Quantity in the Enable Order Types section on the MD Properties | MD Trading tab.

      Note: If desired, assign the order template/order type to an order button on the MD Trading tab.

  2. From MD Trader, select the Iceberg order configuration.

    • Click the assigned Order Button.

      - or -

    • Select the Iceberg configuration in the Order Type drop-down list.

  3. Configure routing using the Routing Configuration dialog.

    Note: You can setup routing rules and customer profiles, or use the <Default> profile. Refer to Creating a Customer Defaults Profile.

  4. Set the goal quantity.

  5. Click the Buy or Sell column at the price level where you would like to submit the sliced order.

    This displays the working and undisclosed quantity in the Working Orders column adjacent to the price..