# What does ^ mean in the market depth?



## skc (21 March 2013)

I've only started to notice this in the last few days. Anyone knows what it means?

Thanks


----------



## Boggo (21 March 2013)

skc said:


> I've only started to notice this in the last few days. Anyone knows what it means?
> 
> Thanks
> 
> View attachment 51423




It may mean 'undisclosed' buyers or sellers, what does the help file say about undisclosed ?
In Iress indicated by "u"

Update: it means 'iceberg' orders, got the same in Iress on CHC

Iceberg Orders will provide for large limit orders where
only a portion (the displayed volume) of the total order
volume will be shown and immediately executable. The
displayed volume acts as a limit order in terms of price/
time priority execution. Once the displayed volume
has been executed, another displayed portion will be
replenished from the hidden part of the order and will
appear at the bottom of the time queue at its specified
price. The order cycles through until the total volume is
executed.


----------



## skc (21 March 2013)

Boggo said:


> It may mean 'undisclosed' buyers or sellers, what does the help file say about undisclosed ?
> In Iress indicated by "u"




Yes /u is undisclosed so this is not /u.

I am pretty sure it's an iceberg as it shows 5k buy being replenished.

But the ASX notes don't say bergs are indicated with ^.

Come to think of it, ^ looks pretty much like the tip of the iceberg.


----------



## Boggo (21 March 2013)

skc said:


> But the ASX notes don't say bergs are indicated with ^.
> .




It does in Iress


----------



## CanOz (21 March 2013)

Hey thats pretty cool, i didn't realize they showed bergs on the ASX depth. How long have they been doing that?

CanOz


----------



## pixel (21 March 2013)

CanOz said:


> Hey thats pretty cool, i didn't realize they showed bergs on the ASX depth. How long have they been doing that?
> CanOz




At least since 1999. But with the advent of Hidden orders and Centre crossings, they have been less frequently used, so people may have missed the few occasions where someone still places a U/ bid or offer.


----------



## CanOz (21 March 2013)

pixel said:


> At least since 1999. But with the advent of Hidden orders and Centre crossings, they have been less frequently used, so people may have missed the few occasions where someone still places a U/ bid or offer.




Interesting, i remember in 2005 when i first started trading the ASX with IRESS i used the depth but really had no idea what i was looking at. 

Interactive doesn't show those i don't think.

CanOz


----------



## skyQuake (21 March 2013)

I believe this is a recent IRESS only feature. When iress detects an order instantly refreshed after the first fill, they mark it as an iceberg.

I am not sure if an algo that varies the amount slightly (eg 4997, 5003, etc) will still trigger it.

Everyone using IRESS depth will be able to see it, including the owner of the order, so it may be possible to "game" the system after a while.


----------



## CanOz (21 March 2013)

skyQuake said:


> Everyone using IRESS depth will be able to see it, including the owner of the order, so it may be possible to "game" the system after a while.




Is that the same thing as "spoofing", showing size to try and influence others watching the depth?

CanOz


----------



## skc (21 March 2013)

Boggo said:


> It does in Iress




What I meant is that it doesn't show on this ASX note.

http://www.asx.com.au/ebrochures/new_order_types/index.html

It mention bergs but says it's not flashed to anyone other than market participants. With undisclosed order it says clearly that it is marked with "u".



pixel said:


> At least since 1999. But with the advent of Hidden orders and Centre crossings, they have been less frequently used, so people may have missed the few occasions where someone still places a U/ bid or offer.




I watch 10 depths on screen 8 hrs a day for the last 2 years and I only started seeing them yesterday. So I'd be surprised (although not impossible) if it's been around since 1999. 



CanOz said:


> Is that the same thing as "spoofing", showing size to try and influence others watching the depth?
> 
> CanOz




Yes and no. You can argue that it is trying not to scare the market by hiding the size. You can also argue that it is trying to spoof the market by pretending to have size (or actually have size). I am not sure what is the rule around pulling these orders anyway. So the answer would be "it depends". With CHC today you can see a bit of front running the order and the price closed 3 ticks above where the berg was.


----------



## pixel (21 March 2013)

skc said:


> I watch 10 depths on screen 8 hrs a day for the last 2 years and I only started seeing them yesterday. So I'd be surprised (although not impossible) if it's been around since 1999.




Excerpt from Reuters depth description file (Appendix A), which I used around 2004 to write program extensions for the Market Analyser and Calypso:


> PRICE	17	Undisclosed volume for buyers
> PRICE	17	Undisclosed volume for buyers
> PRICE	17	Undisclosed volume for buyers
> PRICE	17	Undisclosed volume for buyers
> ...


----------



## nulla nulla (21 March 2013)

skc said:


> What I meant is that it doesn't show on this ASX note.
> 
> http://www.asx.com.au/ebrochures/new_order_types/index.html
> 
> ...




Used to see the "u" regularly in shares like Burns Philp in the early mid 2000's. In the auction. for a while, you could work out how big the position size was by calculating the total in the surplus against the depth then they worked out how to adjust it so it showed volume numbers plus "u".


----------



## skc (21 March 2013)

pixel said:


> Excerpt from Reuters depth description file (Appendix A), which I used around 2004 to write program extensions for the Market Analyser and Calypso:






nulla nulla said:


> Used to see the "u" regularly in shares like Burns Philp in the early mid 2000's. In the auction. for a while, you could work out how big the position size was by calculating the total in the surplus against the depth then they worked out how to adjust it so it showed volume numbers plus "u".




I am talking about ^ being new. I've seen "u" around for some time too. 

They work very differently because the full volume of the "u" stays in the same place of the queue, while the 
"tip" of the berg joins the back of the queue when it is refreashed.


----------



## CanOz (21 March 2013)

skc said:


> What I meant is that it doesn't show on this ASX note.
> 
> http://www.asx.com.au/ebrochures/new_order_types/index.html
> 
> ...





So they can actually hold the bid or offer? 

In the US they watch for these held bids and offers...also "hunt" orders but I can't recall what they were without diggin out my course notes from the SMB Capital Tape Reading 101.

CanOz


----------



## skyQuake (21 March 2013)

I think iceberg won't "hold" that well.

imo real icebergs aren't the 5000 that get refreshed instantly at a fixed price.

Real icebergs vary depending on market depth average size and vary in refresh time. Often letting price "punch" through to lure people in.


----------



## skc (21 March 2013)

skyQuake said:


> I think iceberg won't "hold" that well.
> 
> imo real icebergs aren't the 5000 that get refreshed instantly at a fixed price.
> 
> Real icebergs vary depending on market depth average size and vary in refresh time. Often letting price "punch" through to lure people in.




I agree. The ASX berg is pretty low tech and easy to avoid (should you wish to avoid it). 

The only real advantage seems to be a slight gain in latency as the order sits in the ASX engine and the "tip" is replaced quicker.


----------



## CanOz (21 March 2013)

skyQuake said:


> Often letting price "punch" through to lure people in.




SkyQuake, is this the same as on the futs because I've noticed the same sort of thing happen...almost always when theres a berg really. The berg will soak a some up, then give way..the price pops a bit and then another one sits there...

CanOz


----------



## skc (22 March 2013)

Something new today. These guys at Iress must have read the thread!




Interesting to see a berg on a tiny nano cap, on a day that it is up 20%.


----------

