Thanks for reply MS. I gather they use a modified conditional order entry. So if only one visible bid per price can be applied at one time, at auction the algorithm would need to monitor the auction crossing point and adjust the number of bids/offers across a few prices to maximise the number of shares bought. If this was the case then a close watch of movements of algo parcel size bid/offers would be indicative of the volume of the iceberg [retail folk tend to buy in round numbers 5,000-50,000 etc unless doing a makeup or dollar amount trade]. Is this thinking on the right track?
