Like many exchanges the Chicago Mercantile Exchange allows traders to conceal part of their limit orders, known as a hidden-limit order (HLO) or iceberg order. With HLOs, market participants have incomplete knowledge of the order book. To assess the effect of this lack of transparency in a period of highly volatile markets, we investigate the patterns and market impacts of HLOs in the U.S. corn and live cattle futures markets. Our conservative estimates indicate that HLOs represent more than 10% (20%) of the total volume in corn (live cattle) futures market. The findings show that the existence of HLOs improves market quality in multiple dimensions: driving trading volume while reducing market volatility and enhancing market liquidity. Our results are critical for regulators and exchanges as they are supportive of a degree of opacity. They are also indicative that market traders hide successfully, which can protect traders who have speed disadvantages in the era of fast trading.

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从表面看：美国农产品期货市场冰山订单分析

与许多交易所一样，芝加哥商品交易所允许交易者隐藏部分限价订单，称为隐藏限价订单 (HLO) 或冰山订单。对于 HLO，市场参与者对订单簿的了解不完整。为了评估市场高度波动时期缺乏透明度的影响，我们调查了美国玉米和活牛期货市场中 HLO 的模式和市场影响。我们的保守估计表明，HLO 占玉米（活牛）期货市场总交易量的 10% (20%) 以上。研究结果表明，HLO 的存在在多个维度提升了市场质量：在推动交易量的同时降低市场波动性和增强市场流动性。我们的结果对监管机构和交易所至关重要，因为它们支持一定程度的不透明。