Hi Fred

Any iceberg order is entered with the Strategy Parameters Repeating Group. There should be between 3 – 5 repeating Strategy Parameters blocks, depending on the tip specification type.

• When 958 = T (Tip Specification Type) and 960 = D (Defined), the iceberg will have defined tip sizes. There can be 3 – 5 repeating Strategy Parameters blocks.
• When 958 = T (Tip Specification Type) and 960 = R (Random), the iceberg will have random tip sizes. There is exactly 4 repeating Strategy Parameters blocks.

Defined Tip Sizes

When defined, at least one additional Strategy Parameter group instance is required to define a single tip size, however the LSEG FX API supports up to three tips.

When a single tip size is defined, e.g. 958 = Q1 (1^st Tip), 960 = 3000000, LSEG FX will show only 3 million on the book. Partial executions of this 3 million reduce the visible quantity – it will not be replenished until it is exhausted. Once exhausted, another 3 million will be made visible on the book.

When two or three tip sizes are defined, LSEG FX will first show the first tip size in the book until this is exhausted. It will then show the second until this is exhausted. If there’s a third tip size, it will show this in the book, or if there’s no third tip size it will instead show the first tip size. As long as the order has any quantity left for execution, the visible quantity will cycle through the tip sizes, starting at the first tip size after exhausting the last tip size. If the quantity left in the order is smaller than the next tip size to use, it will cycle through the tip sizes until the tip size is less than or equal to the remaining quantity. If all of the tip sizes are greater than the remaining quantity, the remaining quantity is added to the visible book.

The tip sizes in the Strategy Parameter must all be less than the order quantity. In addition, there is a Minimum Iceberg Order Tip Size and Maximum Iceberg Tip Size per instrument which can be found on the security definition.

Random Tip Sizes

When random, two additional Strategy Parameter group instances are required to define the minimum and maximum visible quantities allowed, e.g. 958 = Qmin (Min Random Tip), 960 = 1000000 / 958 = Qmax (Max Random Tip), 960 = 3000000. A random quantity will be chosen more than or equal to the Qmin and less than or equal to the Qmax. In the example, amounts of 1, 2 or 3 million will be visible in the book. The amount visible in the book will only be replenished once it is exhausted. If the remaining quantity is smaller than Qmax, but still greater than Qmin, a random quantity will be chosen more than or equal to the Qmin and less than or equal to the remaining quantity. If the remaining quantity is smaller than the Qmin, the remaining quantity is added to the visible book.

The Qmin and Qmax values must both be smaller than the order quantity. In addition, there is a Minimum Iceberg Order Tip Size and Maximum Iceberg Tip Size per instrument which can be found on the security definition.

Replenishment Delay

Regardless whether choosing the Random or Defined Tip icebergs, a replenishment delay ID is also required e.g. 958 = D (Delay), 960 = 1 (Delay ID). Delay IDs are associated with a time range, and these associations can be found in the IcebergTipDelayGrp for the instrument on the security definition. This defines the time range used to randomly choose the amount of time it takes to replenish exhausted visible quantity.

Hope this helps

Thanks,
Daniel