I would like to create a custom indicator that shows certain prices with iceberg orders.
What would the algorithm look like? I would have to match the orders executed with the orders in the book. I could with every new record at times and sales verify if such a trade has consumed the price level and if so check if in the book went to the next price level. Otherwise, it would mean that there is iceberg order. However I am not sure if this algorithm is correct. Also, can I get via C # the trading that are happening in real time?