I am analyzing the data that I receive from onMarketData and printing the volume increases that occur with each LAST event that I receive. Additionally, I am printing the price at which it occurs.
The thing is that I detect a Big trade, and as can be seen in the prints, the price remains the same after those 500 contracts, and it even goes up a bit afterwards. Looking at the DOM at that moment, there were no levels with large volumes; most were between 50-100 contracts.
So, it seems strange to me that those 500 contracts coming in don’t break through several levels. The price, as shown in the prints, stays the same. Other times, I have noticed a clear reaction to these big trades, but in this case, the price hasn’t moved at all, and the L2 didn’t show levels with large amounts of liquidity. I know iceberg orders exist, but I’m not sure if there’s another reason that I’m missing.
The thing is that I detect a Big trade, and as can be seen in the prints, the price remains the same after those 500 contracts, and it even goes up a bit afterwards. Looking at the DOM at that moment, there were no levels with large volumes; most were between 50-100 contracts.
So, it seems strange to me that those 500 contracts coming in don’t break through several levels. The price, as shown in the prints, stays the same. Other times, I have noticed a clear reaction to these big trades, but in this case, the price hasn’t moved at all, and the L2 didn’t show levels with large amounts of liquidity. I know iceberg orders exist, but I’m not sure if there’s another reason that I’m missing.
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