strategies and tactics on trading larger sizes or blocks

[CannonTrading_Ilan]

I reviewed the video again and I still do not understand how an iceberg can work in the futures. It's all one book. You claim that "others see it is 4 orders for 10 lots, rather than a 40 lot order." First of all, other traders cannot see individual orders. All they see if the current bid/ask order count. If I see 40 on the tree, how can I tell that it is 4 10-lot orders from one person or single 10-lot orders from 4 others?

Perhaps it would be easier to see if you demonstrated this on a forward contract with low volume. Choose an equity index, any of your choosing. How about the YM of December? That's a nice slow one, currently, but the ladder is gaining steam as we near the roll!

@Overnight you have a few good points and suggestions.
First you are correct, the iceberg does NOT break the 40 lot ( in my specific example) into 4 different 10 lot orders. What it does is it will only show the 40 lot as a 10 lot. Once the 10 lot fills, it will fire a second 10 lot and so on until the full order is filled.
Depending on the specific market/ exchange and the front end you are using, there a few ways to go about icebergs.
CQG for example offers the "standard iceberg" where it sends the order to the exchange as an iceberg and the exchange has their own ALGO on how to fire the orders after the initial 10 lot got filled.

CQG also created their own ALGO that will manage the iceberg on their server and I am including a screen shot below. This came about as different tools appeared trying to detect iceberg orders ( to show the information that there are some large orders waiting at that specific price, like Bookmap which does a great job visualizing the info). By managing the iceberg on CQG own servers the exchange does not see the order as an iceberg.

Your suggestion to demonstrate this on a low volume account is correct. It has to be a LIVE account and not a demo for this specific purpose because we need to show how the order is working on the LIVE exchange and how it fires the next part once filled. I will play around with this and see if I can do it on a live account or not next week.

 

[CannonTrading_Ilan]

I hope this video does a better job of explaining and demonstrating the function of iceberg limit orders: https://www.loom.com/share/7a9fbd9d5ede40b8888ed31c808019d0

 

[MarkBrown]

the tactic i was going to consider was entry with full size (10 contracts up to 50) and exit with discretion. i am assuming that 10 contracts of NQ is not large enough to matter on entry or exit? i've seen 200 contract blocks go through time and sales. are those sizes typically entries or exits, or both?

let's say you wanted to trade 50 - just keep that in mind. never show your cards, so maybe

1.) enter with 10 and your exit presents itself take it.

2.) enter with 10 and market moves against you, if your setup is still valid. buy another 10 at the better price. if your exit presents itself take it.

3.) enter 10 goes against you, enter 10 more goes against you, now do the 30 if your setup is still valid.
if your exit presents itself take it.

4.) not for everyone ok, at #3 scenario, at a predetermined level - i would not hesitate to flip the entire position in an instance. at this point i want to get my money back and get to break even then keep about 10 on and let them run.

m

lot's of guys trade 100's so when you see 200 they are flipping positions most likely.

 

[Ironplates]

"lot's of guys trade 100's so when you see 200 they are flipping positions most likely." are you implying these are reversal trades?

 

[MarkBrown]

"lot's of guys trade 100's so when you see 200 they are flipping positions most likely." are you implying these are reversal trades?

will the word yes clarify ? or you need a more in depth type of yes?

 

[Overnight]

I hope this video does a better job of explaining and demonstrating the function of iceberg limit orders: https://www.loom.com/share/7a9fbd9d5ede40b8888ed31c808019d0

No no no, that was terrible! You are doing it on a ladder that is moving too fast! I told you, you must do it on a forward month so we can follow the orders as they fall onto the book on a SLOW-MOVING ladder/book! Try again on the Mar 2023 contracts after the roll in three weeks. (I was also disturbed by your comment that because it was a live account you could not let the order execute.) Oy!

Sorry Ilan, but you deserve it...

 

[CannonTrading_Ilan]

No no no, that was terrible! You are doing it on a ladder that is moving too fast! I told you, you must do it on a forward month so we can follow the orders as they fall onto the book on a SLOW-MOVING ladder/book! Try again on the Mar 2023 contracts after the roll in three weeks. (I was also disturbed by your comment that because it was a live account you could not let the order execute.) Oy!

Sorry Ilan, but you deserve it...

Sorry @Overnight you missed the point. The video does a good job explaining exactly what an iceberg order does and the purpose of it.
it is using LIVE order book in a live market.
We slowed the video down to show exactly how an 8 lot only increased the order book by 1 and not by 8.

 

[Ironplates]

No no no, that was terrible! You are doing it on a ladder that is moving too fast! I told you, you must do it on a forward month so we can follow the orders as they fall onto the book on a SLOW-MOVING ladder/book! Try again on the Mar 2023 contracts after the roll in three weeks. (I was also disturbed by your comment that because it was a live account you could not let the order execute.) Oy!

Sorry Ilan, but you deserve it...

i agree.

this scene comes to mind. more importantly, the scene right after where Jeff Daniels provides a constructive debrief of the situation.