Level 2 Market Depth & Iceberg Order Detection: Reading the Tape [2026]
Date Published
1. The Deception of the Public Order Book
Display Size vs Hidden Execution Reserves
Institutional execution algorithms (like TWAP and VWAP slicers) are programmed to minimize market impact. Showing a 100,000-share buy order would immediately cause front-running; instead, icebergs disguise size.
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