Iceberg Order Queue Priority and Hidden Quantity

Summary

The document explains how price-time priority may apply to an iceberg order with a displayed portion and hidden reserve. In the example, an iceberg bid and a later fully displayed bid share the same price. The displayed quantity of the earlier iceberg order retains its earlier queue position, so it is ahead of the later order for that amount.

The hidden reserve does not receive the same visible time priority. When reserve quantity is exposed, it joins the back of the queue, behind orders already waiting at that price. Thus, the later order may execute before all of the iceberg's total quantity has traded. The answer gives a simple queue-priority illustration, but it is not a universal rule for every venue: exchange rules and order types can differ, so traders should check the relevant market's specific matching procedures.

Key ideas

• An iceberg order has displayed quantity and hidden reserve quantity.
• The displayed quantity can retain time priority from when the order was entered.
• Hidden reserve quantity does not necessarily share the displayed portion's queue position.
• When hidden quantity becomes displayed, it may join the back of the queue.
• Execution priority depends on the exchange's matching rules.

Tags

# How is the Order priority of an Iceberg order decided?


# How is the Order priority of an Iceberg order decided?












Typically, markets guarantee a FIFO order of priority of execution for various orders at the same price. I want to know does this hold true for Iceberg orders?

for eg Order1 = Buy 100 Quantities @ 2 dollar each and disclosed quantity=10. After this Order 2 is placed : Buy 100 Quantities @$2 each with disclosed quantity 100. Is it gauranteed that Order2 would not trade before order 1 is traded completely?

Thanks

## Answer by Louis Marascio (score 3, accepted)

https://quant.stackexchange.com/a/17792

No. 10 shares from Order1 have time priority. The 100 shares of Order2 will trader after 10 from Order1. The 90 hidden shares of Order1 are hidden, and therefore at the back of the queue. When they light, they get in line at the back.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.