Prediction of Hidden Liquidity in theLimit Order Book of GLOBEX Futures
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【作 者】Hugh L. Christensen and Robert Woodmansey
【刊 名】The Journal of Trading
【出版日期】2013
【卷 号】Vol.8
【期 号】No.3
【作者简介】Hugh L. Christensen is a researcher in the Engineering Department at the University of Cambridge in Cambridge, UK.
hlc54@cam.ac.uk;Robert Woodmansey is the chief executive of Onix Solutions in London, UK.
robert.woodmansey@onixs.biz
【摘 要】At the center of the CME’s GLOBEX system—the leading Western derivatives exchange by volume traded—is the limit order book. A key trait of the GLOBEX limit order book is how displayed volume does not necessarily represent the true volume, due to the existence of hidden volume. One such type of hidden volume is the iceberg order, where the participant can choose not to display the true order size (so as to reduce market impact). Iceberg orders are often significantly larger than the average order size, making them of particular interest to market makers, as order book volume is a key determinant of supply and demand. This article’s main contribution is a GLOBEX-specific, iceberg order prediction algorithm that sits on the exchange feed handler and is implementable with millisecond latency.
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