ES Orderflow Iceberg Detector is a Sierra Chart template that helps you find iceberg orders in ES (S&P 500 futures). An iceberg is a large order that only shows a small part of its size in the order book and refills as it gets filled. The template compares bid and ask volume and total traded volume with the market depth and highlights the areas where that hidden size is likely sitting.

What is on the chart

• Iceberg detection for ES based on market depth data
• Bid and ask volume differences and total volume calculations at each price
• Market depth data that highlights areas of interest
• Large Volume Trade Indicator for single big prints

Why icebergs matter

Large participants rarely show their full size, because a big visible order moves price away before it is filled. So they split it and let the exchange refill it in small pieces. On a normal chart you only see that price stopped. With iceberg detection you see why: much more volume traded at that price than the order book ever showed. That is a strong sign that a big buyer or seller is defending the level.

Good to know

• Preset for ES. It reads live market depth, so you need a data feed with market depth.
• We recommend Sierra Chart Package 11.
• Iceberg detection is also part of the Orderflow Suite Crimson with Custom Studies and the Crimson Day Trading Suite. More: Sierra Chart heatmap and liquidity templates.
• Tip: the Tape On Chart indicator paints the Time and Sales tape directly on your chart, one row per order with big prints highlighted.