What % of the L2 is hidden volume

[pragmatic-trader]

I'm looking at AKAM, it has about 300 lots lit volume on the NBBO at any one time.

What's the average amount of hidden volume as a multiple of lit volume? 0.5? 1.5?

 

[Hotcakes]

All my stoploss orders are pending market orders.

Notice the brokers never publish those?

 

[pragmatic-trader]

All my stoploss orders are pending market orders.

Notice the brokers never publish those?

I'm hoping for a more precise answer Has there been an academic study done on this? I'm sure it's been done I just can't find it

 

[Sekiyo]

You may compare the average volume at price and the average NBBO.

Otherwise I got this :

About 30% of the book volume is hidden on Euronext.

 

[pragmatic-trader]

You may compare the average volume at price and the average NBBO.

Otherwise I got this :
View attachment 232248
About 30% of the book volume is hidden on Euronext.

Thanks. I'd like some stats for US equities too. I know iceberg % differs wildly by market.

 

[Sekiyo]

Thanks. I'd like some stats for US equities too. I know iceberg % differs wildly by market.

I’ve edited my post with some stocks statistics.
Not sure what it does mean but I believe it’s meaningful.

 

[pragmatic-trader]

I’ve edited my post with some stocks statistics.
Not sure what it does mean but I believe it’s meaningful.

I appreciate it but it shows the % of lit liquidity on the NBBO divided by all lit liquidity in the L2. Interesting for sure but not exactly what we're after.

 

[LargeTrader]

2020 hidden liquidity >80%

 

[pragmatic-trader]

2020 hidden liquidity >80%

Source?