how to calculate/retrieve the number of sell orders (and buys orders as well) to detect iceberg orders

Question

As a manual trader, i could identify the iceberg orders because my interface provided me in real time the number of buys and the number of sells at best ask and best bid.

For instance, when the number of buys keep increasing but the bid price doesn't go up (or keep reverting to the same level), i could say there was a sell iceberg order at this level.

From an algo perspective, i don't know how to compute/retrieve number of buys order as most brokers only deliver bid/ask price, bid/ask size and volume (and that's all to my knowledge). If anyone has an idea how to find/compute number of buys (and sells), that would be highly appreciated.

Answer 1

A short answer is to use reliable market data and a trading platform which doesn't wrap precious details in the market data into candles. Your algorithm is a reasonable, but is an approximation. A better name for it would be absorption because it doesn't necessarily detects actual iceberg orders. With some exchanges, e.g. CME, (and given undamaged by data vendors market data) it's possible to detect icebergs and stop orders (bonus) with 100% accuracy. Personally, I think Stops is a more valuable information than icebergs. If you want to develop your own algorithm, you can use its API and process yourself thousands of price levels with many individual orders at each level. The interface is as simple as it can be:

public class MyOrderByOrderDataListener implements MarketByOrderDepthDataListener {
    // manage the orders yourself or use included order book class
    @Override
    public void cancel(String orderId) {
    }

    @Override
    public void replace(String orderId, int price, int size) {
    }

    @Override
    public void send(String orderId, boolean isBid, int price, int size) {
    }
}

• Disclaimer: I'm the author of this addon to Bookmap and a co-founder.