It is based on the smaller orders and this seems evident based on increase in number of ticks AND decrease in average trade size. I really can’t see it being any other way since the exchange is now trying to provide the smallest level of granularity trading matching.

For those who don’t know, an iceberg is an order type not showing its entire quantity. An example would be the following: Lets pretend you and I are the only participants in the market. Lets also say I am offering to sell a 500 lot but as an iceberg order type and set to only show a quantity of 20. (I think this is the nature of your question, otherwise leave another comment) IF you are a buyer and submit a market order to buy a 50 lot as one order, there would be three trades (ticks) disseminated. A 20 lot, another 20 lot, and a 10 lot for a total of 50.

Of course I recommend research

Thank you.

Marty

In the meantime can you answer this question please.

When an iceberg order is sitting off the market on the ES and the market moves to hit it, is the tick size based on the large iceberg order that is hit by smaller orders ? Or, is the tick size based on the fills of the smaller orders ? In other words, are they now breaking up iceberg orders into the smaller lots taking the other side of the trade ? If they are doing that then I would imagine they also break up relatively arbitrary groupings of ticks affecting medium and large size orders, not just iceberg orders ?

Hope you can shed some further light in this respect.

Thank you,
David.