Queue Position
At a price-time venue, a resting order’s fill opportunity depends on quantity ahead, subsequent removals, incoming contra-side demand, and the venue’s exact priority rules.
Central questions
- Which events reduce quantity ahead?
- Can market-by-price data reveal an individual order’s exact rank?
- How do amendments, hidden size, and packet loss affect inference?
Planned model
Place an order in a visible queue and process trades, cancels, additions, hidden liquidity, and data aggregation while showing true and estimated position.