What Non-Display Order Data Can Reveal to Traders
Summary
The document considers whether access to non-displayed order information could help a stock day trader anticipate price moves, such as a sharp opening gap. The response distinguishes the possible value of knowing more about hidden orders from whether a trader can obtain a complete view of them. Broader order information may help some algorithms, particularly those built around high-frequency trading and detailed statistical analysis, while the answer expresses doubt that it would benefit a less specialized trader.
The response groups hidden information by who holds it: an exchange may know about undisplayed orders submitted there, a broker may hold orders that never reach the exchange, and individual traders know their own intentions and private algorithms. It argues that no outside participant can see this full combined state. The answer offers intuition rather than empirical evidence, and does not assess particular data products, market rules, or the usefulness of specific signals. Its practical lesson is that access and coverage limit the value of non-display information.
Key ideas
- Knowledge of hidden orders may help algorithms designed for detailed statistical analysis.
- The response sees less likely benefit for traders without high-frequency methods.
- Exchanges, intermediaries, and individual traders can each hold different non-public order information.
- A trader cannot assemble a complete view of all participants’ hidden orders from one source.
Tags
Full text
# Advantage to access "non-display data"? # Advantage to access "non-display data"? There's data which is hidden from the exchanges called "non-display data"? For a standard stock day trader, is there an advantage to get that type of data? Can I be in the first people to see the big gap up from the beginning of the day? Be aware that I am a trader as well as a C++/Python programmer, and I know very well ML learning. Here is a SE question which might help you to understand the concept of "non-display data": https://money.stackexchange.com/questions/29621/display-vs-non-display-limit-orders ## Answer by Attack68 (score 2) https://quant.stackexchange.com/a/44377 You question seems to me to in two parts. Is there an advantage to knowing the full state of (publicly displayed and hidden) orders on a security / derivative? Answer: yes my instinct tells me this is likely an advantage to some algorithms. For a standard trader who does not perform HFT trading and in depth statistical and mathematical analysis answer: no. Can you know the full state of the orders on a security / derivative? Answer: no. And I answer no to that second question for two reasons; 1) If the data is hidden but known by the exchange they must surely be legally obliged or for their own self interest obliged not to dislose it to you. 2) There are different levels of non-display data; - Data sent to an exchange on a hidden basis (the controlling exchange is aware of it) - Sent to an intermediary broker on a hidden basis and not passed to exchange (only the intermediate broker is aware of it) - Inherent to one's trading intent or private algorithm (only the end trader is aware of it) So your non-display data seems to be a mix of all of the above which you either can't (shouldn't be allowed) access, or cannot possibly find out in aggregate across all participants.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.