Choosing Orders
Passive orders trade price improvement for fill uncertainty and adverse selection; aggressive orders trade certainty and speed for spread and impact.
Central questions
- What is the value of waiting relative to the risk of non-completion?
- Which queue position and cancellation policy accompany a passive order?
- When does an order type merely hide a dynamic policy?
Planned model
Choose price, size, and duration while the book evolves. Display expected fill, realized cost, opportunity loss, and information exposed.