medium · Order Flow Analysis order-book-dom

In a Corn (ZC) futures market, the footprint reveals bid volume of 920 at a single price level over 10 minutes, even though the visible limit order book only ever showed 50 contracts resting at that bid.

What execution algorithm is most likely being utilized?

  1. Iceberg Order
  2. VWAP (Volume-Weighted Average Price)
  3. Market-on-Close (MOC)
  4. TWAP (Time-Weighted Average Price)

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