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CME Iceberg Order Detection and Prediction

Dmitry Zotikov and Anton Antonov

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Abstract: We propose a method for detection and prediction of native and synthetic iceberg orders on Chicago Mercantile Exchange. Native (managed by the exchange) icebergs are detected using discrepancies between the resting volume of an order and the actual trade size as indicated by trade summary messages, as well as by tracking order modifications that follow trade events. Synthetic (managed by market participants) icebergs are detected by observing limit orders arriving within a short time frame after a trade. The obtained icebergs are then used to train a model based on the Kaplan--Meier estimator, accounting for orders that were cancelled after a partial execution. The model is utilized to predict the total size of newly detected icebergs. Out of sample validation is performed on the full order depth data, performance metrics and quantitative estimates of hidden volume are presented.

New Economics Papers: this item is included in nep-for and nep-mst
Date: 2019-09
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Handle: RePEc:arx:papers:1909.09495