The essentials
- Absorption and iceberg candidates use different evidence.
- Sampled depth cannot prove order identity or hidden reserve.
- A candidate is a prompt to inspect measurements, not a trade instruction.
Separate the market concept from the detector
An absorption observation concerns executions and price response. An iceberg concerns how an order’s quantity is exposed. A market can show limited price progress because several participants supply liquidity; it does not require one hidden order. Conversely, a partially displayed order does not guarantee that price will remain at its level.
CME’s Market by Order documentation explains the distinction between aggregated price-level data and individual anonymous order identifiers. It also describes identifier behavior for native and synthetic iceberg refreshes. EdgeX’s current sampled level-two adapter does not provide the order identity needed to make those native-versus-synthetic claims.
Reference: CME Group: Market by Order and iceberg identifiers
How EdgeX forms an iceberg candidate
Within a completed observation window, the detector groups known-direction executions at the same price and compares adjacent depth snapshots. A refill sample requires executions between snapshots while at least 80% of the earlier displayed quantity remains. The observation must also meet the configured refill count, execution-volume floor and executed-to-peak-visible ratio.
The ratio uses the largest displayed size measured in the contributing comparisons, not a guessed hidden reserve. A marker identifies a pattern consistent with repeated replenishment under those rules. It cannot establish who submitted the orders, how much hidden quantity remains or whether the replacement came from the same participant.
How an absorption candidate differs
Absorption candidates require enough same-direction aggressive volume while the executions remain inside a configured tick span. A buy-aggressor cluster is measured against the ask side; a sell-aggressor cluster is measured against the bid side. The detector describes that volume-and-range relationship without promising what comes next.
This distinction is useful in review. A replenishment candidate asks about visible quantity persisting through executions at a price. An absorption candidate asks about substantial executions with limited movement. They can coincide, but one should not be used as proof of the other.
Calibrate against the instrument you observe
The EdgeX starting configuration uses a five-second window, a 100-contract volume floor, three refill samples and a two-to-one executed-to-visible ratio. These are interface starting values, not a validated trading preset. A threshold that is visually useful in one instrument or session can be uninformative in another.
Change one parameter at a time and record the reason. Use Activity to inspect the event price, side, time and measured evidence. Compare representative quiet and active periods instead of adjusting settings until a single historical example appears. Settings can recalculate retained recent history, so preserve your original notes when comparing configurations.
- Confirm tick size and continuous input data.
- Choose a window that matches the question being studied.
- Inspect several candidates and non-candidate periods.
- Record thresholds alongside the observations.
- Evaluate later outcomes separately from detector conditions.
Why missing data changes the interpretation
Unknown aggression is excluded from directional detection. Duplicate execution sequences are counted once. Sequence gaps, out-of-order trade timestamps and depth gaps break the analysis history; EdgeX waits for a fully observed bucket rather than joining observations across the missing interval.
That behavior matters more than generating a constant stream of markers. A quiet detector after a gap may be behaving correctly. The product benefit is inspectable evidence and explicit uncertainty: you can investigate a candidate in the same workspace as the chart and liquidity history without confusing an inferred pattern with an identified hidden order.
Common questions
Can EdgeX tell me the remaining size of an iceberg?
No. Its current sampled-depth observations cannot prove hidden reserve, ownership or native-versus-synthetic order identity. The feature labels observations as candidates for that reason.
Does absorption always precede a reversal?
No. It describes volume with limited movement in a selected window. Price can later continue, reverse or remain in a range.
Continue with the EdgeX product guides
These guides document the controls and data behavior used in this article.
Published by EdgeX Terminal, operated by EdgeProp Trading S.R.L. Product explanations are based on the EdgeX Help Center; external references are linked beside the relevant discussion. Examples are illustrative, not actual trading results. Futures trading involves risk; this material is education, not an individual trading recommendation.
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