How iceberg orders show up, and why most charts miss them

Iceberg orders show up as a price where more contracts trade than the order book ever displayed. An iceberg order is a limit order that displays only part of its total size. When the displayed slice fills, the exchange shows a new slice at the same price. This note follows one invented ES bid through eight sell trades in Liquivue, then explains why most charts draw the same events as an ordinary level. The note on absorption versus a level that refilled covers the wider case, where any trader can refill a level.

What an iceberg order looks like in the book

The visible part of an iceberg is its display quantity. Suppose a trader enters a buy limit order for 300 ES contracts at 5,042.00 with a display quantity of 25. The book shows 25 contracts from that order. After those 25 fill, the exchange posts another 25 at the same price, and the order keeps going until all 300 have traded.

The other traders on the bid see 25 contracts the whole time. Nothing in the book shows the other 275.

Eight sell trades into one ES bid

All numbers below are invented. ES is the E-mini S&P 500 future, and one tick is 0.25 points. By 10:14:00 the other bids at 5,042.00 have traded, and only the iceberg rests there.

At 10:15:50 the next sell prints at 5,041.75. The iceberg filled in twelve slices of 25 over 106 seconds.

The signs in the numbers

The first sign is the ratio of traded volume to displayed size. Sellers traded 300 contracts at 5,042.00, and the book never showed more than 25 there. That is a ratio of 12. A level that holds only what it shows has a ratio of 1 or less.

The second sign is a display that returns to one number. After trades 2, 4 and 5 the bid showed exactly 25 again. It never showed 26 or 30. Each new slice had the same size as the last.

The third sign is timing. The exchange posts each new slice itself, so the refill does not wait for a trader to see the fill and type a new order. When other traders rebuild a bid, their orders arrive seconds later and in uneven sizes, such as 14, then 37, then 9.

None of these signs proves an iceberg on market by price data, which gives one total per price. A trader who re-enters a 25 lot by hand after each fill would produce a similar table. The note on what market by order data adds to a heatmap explains what order IDs add.

The same two minutes in Liquivue

On the Liquivue heatmap layer, the band at 5,042.00 stays dim for the whole 106 seconds. A 25 lot is small next to the 400 lot bands a few ticks away, so the colour changes little as the slices fill and refill.

The trade bubbles show the volume the band hides. Eight sell bubbles print at 5,042.00, and they add up to 300 contracts. The volume profile row at that price grows by the same 300, and CVD falls by 300 while the best bid holds. The Liquivue DOM shows the live count stepping through 15, 25, 10 and back to 25.

Liquivue lists absorption markers, and a level like this one may draw one. With live CME order-level data, Liquivue's experimental iceberg detection can also flag the level. Treat the flag as a prompt to check the ratio yourself, because the feature is experimental.

Why most charts miss them

A candle chart records open, high, low and close. A footprint adds the volume traded at each price, so the 5,042.00 row would show 300 contracts sold. Neither chart records the displayed size, so neither can compute the ratio of 12. In Liquivue the docked HTF chart has a delta footprint, and it sits beside the heatmap on the same instrument and crosshair. The footprint row and the band are on one screen.

A heatmap drawn from snapshots can miss the dips. If a platform samples the book every 100 milliseconds and a slice fills and refills inside that interval, the band never shows the drop to 10 or 15. The level looks like a steady 25 lot that nobody traded.

A relative colour scale hides small display sizes. A 25 lot band next to 400 lot bands draws close to the background. The note on absolute and relative colour scales covers that setting.

Iceberg tools on other platforms

Bookmap sells native stops and icebergs as paid market by order add-ons. They need BookmapData CME or Rithmic CME data and do not cover Nasdaq stocks. Live futures analysis in Bookmap starts with the Global tier at US$49 a month. ATAS lists its market by order bundle with icebergs as an Ultra plan bonus until 27 November 2026, on a Rithmic connection. Ultra costs €89.95 a month.

Liquivue lists iceberg detection inside its workspace, which costs €20 a month after a 7-day trial. The live CME order-level data is a separate charge from your provider. The costs page keeps each price in its original currency.

A check you can run

Find one price on today's chart where trade bubbles kept printing while price held. Write down the largest size the DOM showed there, the total volume traded at the price, and how many times the displayed size returned to the same number. Divide the traded volume by the largest size shown. A ratio well above 1 with repeated identical sizes fits the pattern in this note. It does not confirm an iceberg without order-level data.