Exposing How Banks Hide Their Trades

TITLE: EXPOSING How Banks Hide their Trades CHANNEL: Andrea Cimi DATE: 2026-05-31 ---TRANSCRIPT--- After 7 years of trading, by myself, with prop firms, live in front of millions of people, sometimes successfully, It’s a great session, guys. sometimes unsuccessfully, [ __ ] my pants, bro. Guys, I’m calling it a day. [ __ ] this market. and talking and trading side by side with some of the best traders in the world, I understood that if there is one thing you should know as a trader is liquidity. Because liquidity is the driver of markets. And we’ve been talking a lot about how liquidity works, about order flow, and the interaction between aggressive liquidity and passive liquidity. And with liquidity heat map softwares like Deep Dome, you can see where these resting liquidity areas lie in the market without assuming that there’s some stops up there, maybe. But you can actually see those orders in the books of each exchange with something called level two data. And this is awesome because market are typically attracted by these liquidity areas. Sometimes even a normal heat map with a normal data feed will not be able to see all the liquidity. Sometimes, it’s hidden where even normal order flow can’t see. And below the surface level, one of the most common patterns institutional traders use in the professional space to hide these huge orders below the surface is called iceberg. Imagine it exactly like an iceberg. An iceberg might have 10% of its mass above the surface of the sea, but the biggest chunk of the iceberg is [music] below the surface. You can’t really see it. Well, institutional level traders that trade with institutional level size will do exactly the same thing with their orders. They will show only some in the surface and hide the rest below. But here’s the catch. With the right tool and with the right data feed, you can spot it. And you can see where smart money is really entering the market [music] with a level of precision that no other trading tool can give you. So, let me introduce you to icebergs. We’re going to see the mechanic behind it, how it works, how to set up a heat map software from scratch in order to be able to see these orders, and how to use this information and when. So, let’s start from understanding that there’s a difference between the classic retail liquidity concepts and actual liquidity. So, we need to kind of clarify for those who, you know, are still maybe in the usual ICT concepts or the usual suspect of the trading space where you believe liquidity to be stop losses or buy stops above a high and sell stops below a low that price will eventually target, price will eventually hunt for, which is typically buy stops and sell stop. Well, that’s just partly true, that’s just one side of the liquidity. That’s just like seeing not even half the picture. This is like, uh, let’s say 10% of the picture, right? Of what liquidity actually is. This is 10% of the liquidity. The actual liquidity is a concept that is a little bit more nuanced, and actual liquidity is what actually moves the market. Passive liquidity, which are buyers and sellers, so buy buy liquidity below the price and sell liquidity above the price, and aggressive liquidity, that are these bubbles that we’re going to learn what exactly they are. So, you have one side of the liquidity, which is called aggressive, one side that’s called passive. These are so-called market takers, these are the market makers. These make the markets, these take the markets. And this is how liquidity actually works. This is what liquidity actually is. And to read liquidity in this way gives you a more comprehensive view about the market than just considering one side of the liquidity to be the only liquidity you need to care about, right? So, let’s start from understanding the very basics. So, this is an order book, okay? And you have it for every market. For example, let’s say this is the price of an ounce of gold, of Bitcoin, of US oil, or, you know, the S&P 500, whatever that might be, right? And all This thing basically means that at 101, at this price, there are 33 sell offers. Okay? So, there 33 people placing one contract each, for example, or one guy placing 33 contracts or 33 Bitcoin or 33 gold futures or 33 Nasdaq future for sale. Okay? So, he’s basically offering to sell. Just offering. He didn’t sell it yet. He needs someone of these guys then to accept that offer. We’re going to see that how that works. Above here, we have 42 Bitcoins ready to be sold. 56 Bitcoin ready to be sold. 64 Bitcoin ready to be sold. So, these are the offers of sellers, the so-called ask. And the best ask, of course, is the lowest price at which someone is ready to sell, which is best ask, 101. This, instead, is the bid. So, all of these are market buy orders. So, they’re buy limit and they’re offering to be a buyer at, for example, 99. So, there’s Then you have 33 at 98, 51 Bitcoins at 97, 60 Bitcoin at 96, and so on and so forth. So, if you were to buy, for example, let’s say you want to buy Bitcoin. You have two options. You either join the offers and place your buy limit here and basically be a passive buyer and be a market maker. You offer to buy. You offer to buy your own terms. I want to buy only if price gets to 98. Or, you can And And that will mean that you have to wait for a seller to come and accept that offer. Okay? The other option you have, if you don’t want to wait, if you cannot afford to wait, is you can buy, for example, one uh Bitcoin or 50 Bitcoin, whatever that is. You can buy them from these guys, cuz these guys are offering to sell right now. Like, they’re ready to sell if you accept to pay that specific price, 101. So, let’s say you’re in a hurry, you need to buy Bitcoin now. Perfect. You’re going to accept that offer and buy your Bitcoins from them. So, you either wait for a seller to come to you, or you go to the seller and you accept their offer. This is why we call this market takers and market makers because these are like the meat at the counter, right? This is meat. Buy meat and sell meat. Do you want to give some meat? You know,

[laughter] it’s a bit weird. Do you want to offer some meat or do you want to take the meat, right? So, these one eat the liquidity, the passive liquidity, and basically accept to pay a slightly higher price, just like in an auction, right? So, as we will see now, let’s say a buyer comes, right? A buyer comes and needs to buy now 25 contracts, 25 Bitcoins, whatever that is, and he’s accepting to pay a slight spread. So, instead of, you know, buying at 99, where most of the buy offers are, he actually accepts a sell offer at 101. one and gets filled. So, out of those 33 contracts, 25 will be executed and matched with these, and eight will be remaining at 101. Now, a seller comes, an aggressive seller that cannot wait for someone to fill him. Someone that actually needs to sell now aggressively, and he eats with his 25 contracts, he eats some 25 of those 41 that is passive liquidity at 99. So, they consume that liquidity, only 16 are left. Then, another buyer come. This one is a big buyer, 75 Bitcoins. Well, there’s no 75 Bitcoin at 101. Maybe he will take some here and some over here. So, he will be able to fill eight right here, and now the best ask will move here, and there’s

42. Now, he still has 67 that he he wants to buy. Well, 42 will be eaten completely, and the remaining 25 will be eaten above. So, with one big order, he was able to eat this liquidity, this liquidity, and this liquidity. And his order basically got slipped, we say. This is called slippage when you buy some here, buy some here, buy some here, you get slipped because there’s not enough liquidity to fill all of your order at the same place. So, this is called slippage. So, the main takeaways from these are you can either be passive, so you buy or sell at the price you want, so you have pricing authority, but you have no guarantee that you’re getting filled, right? You can place your buy limit here and hope that someone will fill you, or you can act now and choose to accept these slightly less inconvenient, slightly more inconvenient sell offers. Or you can be aggressive. You can buy and sell when you want, so you have execution authority, but you’ll likely pay a worse price, which is the spread, right? And this brings us to a very important concept. Because if your size is a retail trader size, okay? And you buy Bitcoin, for example, have you ever had a problem buy Bitcoin? Not really, right? Or buying anything in financial markets? No, because your size is so small that you will be easily executed inside of the market. Maybe there’s a market maker, maybe there is some other traders that is your counterpart at any moment. And because your size is small, let’s say you’re you have a five contract [snorts] order, well, it’s going to be easy for you to find a seller. But let’s say you’re Blackrock and you need to buy 5 million of contracts. Well, it’s not going to be that easy because if you were to buy now, because if you have to buy all of them at once, you have two options. You either place an enormous buy order here, everyone will see it in the book, and no one will ever think of selling to you because you probably know something they don’t. So, everyone will start buying because they’ll try to front-run you. But at the same time, if you choose to buy all of these markets, you’re going to have to accept to pay higher and higher and higher and higher prices and be slipped all the way up and move price super fast. And that’s also inconvenient. So, what happened is some mathematicians thought about, “Hey, how about we take this huge order, and we split it into multiple small ones. And we pour it in the market a little bit at a time, a little bit at a time, a little bit at a time, and basically fraction this order into multiple millions of small orders, right?” So, the first step is they fraction these orders. The second step is they optimize. So, maybe some of these will be placed here in the book. Some will be used market to see if they can get some good fill with the sell offers. So, they will optimize the filling of their order to pay a little less spread, and at the same time have a little bit less transactional cost by placing these buy offers instead. So, this brought up a huge science behind this that basically tries to understand, “How do we optimize the execution of the orders?” How many do we put aggressively, and how many do we put passively? And there’s a lot of, you know, algorithms that try to optimize this. For example, the VWAP, the TWAP, percentage of volume, implementation shortfall, and many other that basically try to optimize the filling of these orders so that the transaction cost of huge operator is optimized, and they can have some alpha also, and some optimization in the way they execute these huge orders. So, so that’s why there is some level of predictability in order flow because typically when there’s huge market participants coming into the market, and they put a lot of orders, well, this is likely a small part of a huge meta order that they’re planning to put in the market, right? And so, typically bullish order flow will lead to more bullish order flow, okay? And we can see these order flow in these type of charts that we’re going to see very soon. And so, because there is a constant need for liquidity by these huge market participants because they have so many freaking orders to fill and there’s only so many in the markets. Well, if there’s going to be something like this happening when there’s a huge bunch of meat right below here, what will tend to happen is that market will be attracted by these areas and they will push price down and they will push price down and eat all of that liquidity. This is the principle behind the liquidity heat map. The liquidity heat map is nothing more than if you were to give a heat score to how much liquidity there is, you will have very hot areas where there’s a lot of liquidity and kind of not so hot areas where there’s not a lot of liquidity, right? So, big liquidity areas, hot. Small liquidity areas, cold or not so intense. And with some specialized software, you can also see not just the current depth of market and the current liquidity, but how this liquidity changed through time. If an order, for example, was moved first here, then here, then here. If some orders were completely deleted and every single order, buyer or seller, aggressive, of course, that ate the best liquidity offered. So, this is an example of an actual liquidity heat map. And as you can see, there’s going to be some hot levels and here you have all of the the current level of liquidity areas. And here you can see you have a 465 contract order right up there. And as you can see, the the first thing that happened right after is that price pumps up incredibly fast and goes and eat that level of liquidity. The The run towards this level of liquidity was really, really obvious. As it was here, right? They were both of these orders. The first order got taken and then the other one got taken care of as well, okay? So, price will be drawn to these liquidity areas. And with the software like this one, you can see also the bubbles. So, this is the first step, right? So, you kind of understand that um but as we said, sometimes market participants don’t want to advertise their position. They don’t want to show that they want to sell or buy. So, what they will do is they will only show, for example, eight orders offered to buy, but every time a seller comes and accepts that offer, every time one of these bubble pops up and eats that liquidity, a new fresh liquidity is presented. Once that one is eaten as well, a new liquidity magically pops up and so on and so forth until they’ve basically filled this huge order without showing it and without creating a liquidity effect, a seeable liquidity area, but by hiding it below the surface. And with the And with a normal heat map like this one, you cannot even see this. Because if I click and go to source settings, you can see that the source type is MBP, but I should put MBO. What does that mean? Good question. Let’s kind of refresh our minds on how data feeds work. So, all trading activity, all order flow happens inside of an exchange. In our case for Nasdaq and S&P futures, it’s the CME, the Chicago Mercantile Exchange, and this is where all the transactions happen. So, what you can do is you can ask for the exchange to provide you with this information, with the information of order flow, with all of these orders that are entering the market. So, the exchange will send the order to a data feed provider like Rithmic, CQG, and DXFeed that will be fed to, for example, an order flow platform like deep charts, like deep DOM as a stream of order flow data, a live stream of order flow data, so that ultimately you can see it in your charts. So, this type of data feed can show up in many different versions. The first one being level one. A level one data is typically very cheap, sometimes provided even for free, And what a level one data feed or top of book shows you is mostly all of the executed orders, whatever amount of orders in the best bid, whatever amount of orders in the best ask. That’s it. You cannot see a liquidity heat map like this one if you have a level one data feed because you would probably see only this 17 and 53, only the first two best level. And you will not see the entire treasure map, if you know what I’m talking about. But this is good enough if, for example, you want just a footprint chart. A footprint chart like this one where you can see how many orders were executed at every price level once they’re already executed. So, for volume profiles, for footprint charts, for delta, and all this kind of stuff, level one is technically good enough. But if you want this, it’s not. So, that’s why you need a level two data feed, which basically is which is known as full market depth, which is the full which shows you the full depth of market, the full order book, and every single liquidity level at every price, not just the best bid and the best ask. Plus, of course, your good old bubbles or orders. So, this is both good for footprint chart and also good for heat map because a heat map needs all of the levels of the book in order for it to make sense and show you the liquidity areas that matter. But this is just an MBP data feed, which means market by price. So, you’ll see how much market there is at every single price. Market by price. But here, these 78 contracts can be one guy putting 78 contracts, it can be 78 small retail guys playing placing one contract each. And with MBP, you will never be able to learn the difference. So, with a data feed like CQG, they will typically provide level two but with MVP. But, feeds like the X feed or rhythmic will provide a MBO data feed, which is still level two, as in you see all of the orders of the order book, but some people also call it level three because it doesn’t show you just the full market depth, but it also shows you the market by order. So, how many orders are in each and every single level of the book, so you can know if that’s one big guy or multiple small guy. Both on the passive side and also on the aggressive side. So, each aggressive order and each passive order have their own unique order ID. And this is the most granular level of order flow data money can buy. But, why do you need to know this exactly? Well, back to our iceberg. The thing about iceberg orders is that even though they look like multiple small orders, they all have the same order ID. So, thanks to MBO data feeds, we can see that these small orders of eight contracts have the same order ID, so they’re likely part of one big order. And we can spot institutions hiding these orders thanks to MBO data. And the platform you’re about to see, by the way, is called deep dome, and we’ve just released it on deep charts. And if you have an active deep chart subscription, you can get it as a lifetime add-on at like $300. Of course, as an add-on to your current active deep chart subscription, which is awesome. So, so if you want to get your hands on the same software, click the link in the description because these launch prices are going to end very soon. And on top of that, you get a liquidity bootcamp from Enrico Stucky, Fabio Valentini, my mentors in order flow, and our friend Carmine Rosato. It’s going to be awesome, so I’ll see you there. Now, back to our heat map. So, what I’m going to do now is I am going to right click, go on to source settings, and select MBO. And as you can see, nothing has changed. Why is nothing exchanged? Because, of course, I’m only plotting a normal liquidity heat map. I still didn’t activate the iceberg tracking. But the first thing I could do for example is I can go on properties and on the heat map DOM levels section, if I if I go on display mode biggest order and total, you will now see that there’s you know you will now see that something has changed in our heat map. Now not only you can see how many orders there are but also what is the big order inside there. So you can know for example that this guy is a 795 contract guy. Not exactly a retail, right? This is not a crowd of retails. And this is very good. This is very good information to know. Also here we knew that 400 was just one guy. Same same thing over here, 94 was just one guy out of this 135. And so at this point I can go into right click and indicators or go up here and click on indicators and add the deep iceberg tracker. And there you go. Now we can have a clear representation of when there’s an iceberg in the market. And for example here throughout this whole market phase, you can see there was an iceberg for 125 contracts hidden below the surface. So a seller started accumulating here, started accumulating here, and accumulating here again. And price and price dropped before the news came out. But also in the middle of this happening, of this mess, you could clearly see there was a big buyer reloading and a big seller. There was a huge battle over here. But this is, you know, what happens during news events. But this is, you know, a typical mess that happens during news event. And now markets are closed and today, you know, it was bank holiday, whatever. I think it’s best if we click on options and replay and maybe go to a the day instead. I’m going to include MBO on my replay and set. It’s going to load the data for the replay. Let’s take some look Let’s take some more contrast in so we can see. And as you can see there’s a lot of these icebergs in the New York session. There’s a lot of institution buying and selling and buying and selling at every single level of price. So what we can do, another cool thing we can do, is for example, we can go on indicators, iceberg, and filter out only big icebergs. Let’s say above 150 contracts. So let’s apply. Now this is much cleaner. Now you don’t have the small icebergs. The small institutional orders. We just have the big guys. And when you filter for the big guys, look at what happens. Iceberg here, probably keeps reloading here. Boom. Price drops. This was the high of the entire session. Price melted right after this huge iceberg. Then we had some reversal and we touched the bottom here. Where did we touch the bottom? On the obvious liquidity area? No, sir. We touched it on the liquidity areas plus with an iceberg of 160 contracts as well. So they were not satisfied over here. They filled an order and then they reloaded 160 more two contracts at a time. And exactly when these moments happen, where these huge market participants absorb all of the market pressure of buyers, they build this wall of liquidity that buyers can’t pierce through, price melts. They do the same thing on the buy side. Huge buyer here absorbing all of these selling pressures and boom, that plots the low of the market and price reverses. And and so on and so forth. Of course, it doesn’t happen every single time. As you can see here, there was a huge liquidity level that responded and then these There was a huge buyer here that kept buying here, that kept buying here. So he kept buying all the way through. He didn’t really plot the low. This could be either a guy taking profits on shorts as well, or a guy reloading a lot of buying contracts because he has a buy program and he ultimately knows that, you know, we’re buying today. And at some point in the day that’s exactly what happened and price completely reverses above that huge accumulation level. So, of course, they’re not going to plot the high every single time. I wish it was like that, but if it was like that, we would all be rich. But, of course, you need to give it context. You need to put it in the context for example, of let’s say an opening range breakout strategy or maybe you want to have your daily volume profile activated and see which are the areas where this is happening, right? So, for example, you might just want to take a look at things that happen only at the value area highs or at the edges of the profile and then you know it’s right where I want to see it, right? And, you know, this kind of stuff, giving it a little bit of context. There’s some other really cool stuff that, of course, you can do. No, wait. You can, of course, customize it however you like it. Let’s say I want to have it red. I want to have it green, more punchy. Active icebergs are basically icebergs that haven’t yet filled completely. So, icebergs that were not completely filled. So, yeah, now that’s a lot better. Now I can see them better. Let’s now Let’s now try and replay another day. Come on. Okay. Buggy trace. Okay, this Let’s Let’s try this day. This is another example. Yeah, here we saw a guy buying 150 contracts hidden below the surface. Then another guy starting to accumulate sell positions here and then re-accumulating sell positions here. So, we see that sellers are very active and then they start getting aggressive. And then when they go up, they start accumulating again and then you see price dropping like hell. Again, of course, this is just some very basic example. The ideally you want to backtest this in your strategy. So, I strongly advise you to do this to see if they happen, for example, at some specific areas of the volume profiles like this one, like this one over here, where is the exact value area? That’s where they start accumulating sell positions. Well, that’s a good indication that price might continue lower after that. Or maybe they do it right above a important high. That’s also another cool place to look for these to spot some very high probability reversals. Let’s try to replay this in a session, but at the beginning of the session. So, at 4:30 my time, which would be 9:30 market time. So, we have I don’t know if that was a news, but look at what happened here. And you’re going to start seeing this working very well in London sessions, by the way. London session is where, you know, big orders like these, or let’s say before the regular trading hours, right? Because regular trading hours starts here. When this happens in the London session or in the, let’s say, extended trading hours, that’s where it has the most power. Look at the Look at this one, bro. Huge absorption here. Boom. And then below here, another big absorption before market opens. Kablao. Keeps absorbing, and look at what happens at the beginning of the session. Boom. They’re still absorbing. Well, this is clear It’s clear where we’re planning to go, right? Let’s see what happens if we replay. Yep, there you go. So, for example, let’s see if we can, you know, find a way to make this profitable. We see that we’re in an accumulation area. And we’re in an accumulation area in the highest volume node of the session. We have the value area low below here, um, and it ends pretty much here. This is another big important level, which is the low volume node, which is this one over here, the the the one highlighted in green. Let’s see if we maybe try and buy there if we align ourselves with the smart money. So, I’m going to activate the trading panel and select my uh, back test. Okay. For example, test. And we see that smart money is buying now. It’s buying here. It’s buying here. It’s still buying here. Let’s see if we have a test on the low volume node, and maybe we can start buying. So, let’s for example, say that we want to buy with a stop loss based on our on the money. So, for example, I want to risk in this position $5,000, let’s say. We can start buying, right? And put our stop loss Nope. Nope, wait. I first have to go and click risk instead of quantity and I can buy the exact quantity when I place my stop loss, for example, below this low volume node. And then I want to add a little bit more if we reach the low volume node. So, for example, here with my stop below here, also below the entire high volume node over here. Let’s see. Let’s see if we get filled on the second one. No, apparently we don’t. Let’s see if we get another iceberg on our direction, we can for example buy Oh, there we go. Oh my god, this was a 1,000 contract iceberg. That’s some huge stuff. So, let’s cover ourselves below the highest volume node here and look at that. We are in the side of smart money. 1,000 contracts all absorbed. Absorbed, absorbed. We saw it before any retail could ever imagine. And as of now, we’re probably breaking above the opening range breakout. Let’s see if we can see some interesting activity. Oh, we have a huge sell order over here. Let’s see what they’re going to do about it. Well, they accumulated even more. Look at that. They accumulated 500 more buying with an iceberg. Sold a little bit, but 200, it’s not that much. Let’s see if we can maybe put our stop to break even. Oh, we have more buyer absorbing. Let’s see if we can add a position. Yeah, we’ve added a little bit more. I think we did. Did we? Well, the idea was to add a little bit more there, yeah. And now we see some sellers kind of deloading their position. So, maybe now it’s time to sell maybe at least six contracts, for example. So, we’re going to half halving our exposure so we can sell market, yeah. Now we only have six contracts of exposure and the other ones we can, you know, take the final profit when we see another big iceberg if there’s any. Let’s see. Ooh, there it is. Now, I was a little bit too fast, so let’s cancel and flat. So, we unloaded our position. Ooh, but we have more buyers joining the party. We didn’t have the time to join again, but this was exactly the best point to take profits and then maybe reload once more. And they reloaded again. Let’s see because there’s a huge levels of liquidity here plus absorbing. Yeah, there you go. And look at look at that again. Boom. More icebergs more icebergs again plotting the low of this move. We have some liquidity to go and eat here. Let’s see if buyers are still hungry or if they’ve had enough because they’ve eaten a lot already. So, all of this liquidity now, let’s see if they’re going to be still hungry, but I doubt so. Yeah, there you go. But still, 500 contracts being absorbed and price moves up. Then another iceberg over here. Price slowly retraces and then moves back up. Let’s see if they’re going to finally eat that liquidity because this 500 contract was really huge. Yeah, they’re deleting some of this. So, yeah, there you go. Amazing stuff. This is the world of liquidity, guys, and icebergs. And that was exactly what icebergs are, how to use them, and now you can also have the ability to read the market with the lens of professional traders to spot where smart money’s entering the market for real. If you enjoyed this video, you want to see more around this topic, let me know in the comments. Leave a like as always, and I’ll see you in the next one. Ciao.