Hidden (non-displayed) order

Displayed, iceberg and hidden

Where non-displayed orders exist

In US equities, the SEC's 2010 concept release on market structure describes dark pools and undisplayed order types at exchanges and electronic communication networks, and notes that immediate-or-cancel orders can be used to search for that undisplayed liquidity. Many equity venues rank displayed orders ahead of non-displayed ones at the same price, which is the cost of hiding.

The CME order types and qualifiers described in its client documentation include a display quantity for showing only part of an order, which is the iceberg mechanism; a fully hidden order is not among them. On CME, each refreshed slice of a display-quantity order joins the back of the queue at its price. Crypto exchanges set their own rules, and some offer hidden or iceberg options; the venue's API documentation is the reference.

How it shows up in the data

• Executed volume at a price larger than any size ever displayed there during the same interval.
• No refill pattern: an iceberg reappears after each execution, a fully hidden order never appears at all.
• Order-by-order (MBO) feeds publish displayed orders; a hidden order is absent from them too.
• The same signature can come from new orders arriving between two book updates. The slower the feed, the more often ordinary replenishment looks like hidden size.

A worked example

For one minute, the ask at 101.00 never displays more than 20 contracts, yet 150 contracts trade there and price does not move above it. The totals are consistent with an iceberg reserve, a hidden order where the venue allows one, or a stream of new sell orders joining as others fill. If the order-by-order feed shows the same order identifier refreshing its displayed quantity, the display-quantity explanation is favored. If it shows many different orders arriving, the replenishment explanation is. If neither is visible, the chart cannot decide.

In Senzoukria

The footprint records executed volume per price, which is where size larger than the displayed book becomes visible. On the heatmap, the Iceberg rings marker shows where a level keeps refilling, with a 'Refills to call it an iceberg' threshold, and the Liquidity lens lists a 'Refill candidate' when a displayed level is replenished; its notes state that aggregated depth changes do not identify individual orders, and that observed MBO refreshes do not confirm a native iceberg. On Rithmic's order-by-order feed, the Liquidity tracker splits each level's size into withdrawn and executed. None of these tools labels an order as hidden: they show the evidence and leave the attribution open.