33 4.8 Iceberg Orders An Iceberg order replenishes the displayed order size as executions are received. Only the disclosed portion of the order has priority at the given price level. Users have the option to have the displayed volume refresh to randomly selected sizes by specifying a +/- volume range (DisplayRange) which, when applied to their displayed quantity, will establish the ceiling/floor for randomization of the refreshed display size. When an Iceberg order with a DisplayRange is first entered, or it is refreshed, it will be assigned a random Display Quantity that is in the range of [MaxFloor – DisplayRange or MaxFloor + DisplayRange] inclusive. For example, an Iceberg order with MaxFloor = 1000 and DisplayRange = 200 originally books with DisplayVolume = 900 [randomized value between 800-1,200]. The total size of an Iceberg order may be either board lot or mixed lot sized. The disclosed size of an Iceberg order must be a multiple of a board lot, with a minimum display of one1 board lot. If the disclosed volume of an iceberg order becomes an odd lot due to board lot changes overnight, then the order is purged overnight. The odd lot portion of a mixed lot iceberg order will remain hidden and will only be released for trading after the board lot portion has been fully executed (exhausted). This rule does not apply if the odd lot is already part of an order in the open. When an incoming order trades with a booked Iceberg order for a quantity larger than the disclosed size, one trade will be generated for both the tradable disclosed volume and undisclosed volume. Both the total size and the disclosed size of icebergs may be amended (CFO’ed). However, when the disclosed quantity is amended, the new disclosed size becomes effective only after the next re-load of the iceberg’s undisclosed volume. Example: Iceberg Orders Assume the CLOB is as follows: LSP: 10.05 BID OFFER Order # Hidden Qty. Visible Qty. Price Price Visible Qty. Hidden Qty. Order # 001 100 10.00 10.20 400 002 003 500 9.90 004 Iceberg 9,900 100 9.90 005 200 9.90 An incoming order (Order 006) to sell 1,500 shares @ $9.90 is entered, then the order trades with all displayed liquidity at each price level first. The remaining volume is matched against the hidden iceberg volume in one single trade:
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