What Specific Data Points from Level 2 Order Books Are Most Crucial for HFT Algorithms to Identify Icebergs?

The most crucial data points are the recurring size, price level, and originating market maker or source of the order. HFT algorithms watch for a specific order size to be replenished at the top of the book shortly after it gets filled.

They also monitor the timestamp and execution speed of these small trades. A consistent pattern of a new order of the same size appearing from the same source after a fill at a specific price is a strong signal of an underlying iceberg order.