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Home » Announcements » Futures Iceberg Orders Documentation Add New Post

Futures Iceberg Orders Documentation

Moderator published on OKCoin Announcements Announcements 2015-01-23 14:09 2839

1. An iceberg order is an algorithmic order type allowing users to avoid place a large order while avoiding slippage. An iceberg order automatically breaks up a user´s large order into multiple smaller orders. These orders will be placed on the market according to parameters set by the user as well as the latest best bid and ask price. When one of the smaller orders has completely filled, or the latest market price has deviated significantly from the price of the current order, a new order will be placed automatically.
2. Iceberg orders are made up of the following parameters: price variance, total order amount, average order amount, and price limit.


3. Open iceberg orders reduce available margin, and iceberg close orders do not reduce contracts available to close.



4. Each user can only have a maximum of three unfilled iceberg orders.



5. Each buy limit order placed by the iceberg order is calculated as follows:



order price = (1-price variance)*best bid



amount = min(average order amount*(random percentage between 90%~110%), available order amount)


Each ask limit order placed by the iceberg algo is calculated as follows:
order price = (1+price variance)*best ask
amount = min(average order amount*(random percentage between 90%~110%), available order amount)
6. For open iceberg orders, "available order amount" refers to contracts available to open. For iceberg close orders, "available order amount" refers to contracts available to close.
7. If placing a long order, "contracts available to open" is calculated according to the following variables: min(upper price limit at time of order, best bid, price); available contracts; contract value; leverage ratio.
If placing a short order, "contracts available to open" is calculated according to the following variables: min(price, lower price limit at time of order); available contracts; contract value; leverage ratio.
8. When an “Open” iceberg order is placing the individual limit orders, if the market price is lower than the maximum price set by the user, however, due to the price variance set by the
user the order price would exceed the maximum price, an order will be placed at the limit price; if a “close” order and the market price is higher than the maximum price set by the user, however, due to the price variance set by the user the order price would be below the minimum price, an order will be placed at the limit price
9. Order depth range is limited to: -0.5% - 0.5%
10. Average order amount range is limited to: BTC: 2-100 contracts / LTC: 2-1000 contracts
11. Total order amount must be more than average order amount.
12. When all of an iceberg order´s open limit orders have been completed or cancelled, the iceberg order will start to place new limit orders.
13. When all buy orders placed by the iceberg order meet the following conditions:
price*(1+2*|price variance|) ≤ latest transaction price
then all buy orders will be cancelled and new limit orders will be placed.
14. When all sell orders placed by the iceberg order meet the following conditions:
price*(1-2*|price variance|) ≥ latest transaction price
then all sell orders will be cancelled and new limit orders will be placed.
15. When the amount of completed orders is equal to the total order amount, the iceberg order is complete.
16. When the there are no more contracts available to open (i.e., you have used all available bitcoin in your account whether manually or from the iceberg order) the system will automatically cancel the iceberg order.
17. For bid orders, when the latest transaction price is above the price limit, the iceberg order will be suspended. For ask orders, when the transaction price is below the price limit, the iceberg order will be suspended.
18. If a user is margin called, users in cross margin mode will have all iceberg orders cancelled. Users in fixed margin mode will have all iceberg close orders for the corresponding position cancelled.
19. When a user uses the "close all at market" (Mkt) function, all iceberg and regular orders for that position will be cancelled.
20. After an iceberg order´s limit order is triggered, the actual order price will be according to the OKCoin system´s records. Users using the iceberg order tool shall acknowledge acceptance of the impact of this rule.
21. The system is responsible for placing orders, and cannot guarantee that submitted orders will be filled. Users must fully understand that market prices are volatile, and iceberg order parameters could lead to orders not being completed.
22. OKCoin reserves the right of final interpretation of these terms.



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