Fill Probability
Fill probability depends on price, rank, future order flow, cancellations, hidden liquidity, and venue rules. Historical fill rates are conditional on the quoting policy that generated them.
Central questions
- What state variables make a fill estimate conditional?
- How are cancellations ahead distinguished from behind?
- Does a higher fill probability also imply worse selection?
Planned model
Vary quote price and queue position under several order-flow regimes while plotting fill probability alongside post-fill markout.