Queue and Fill Models
Historical trades do not prove that a hypothetical order would have filled. A queue model supplies the missing counterfactual allocation assumptions.
Central questions
- How is initial rank estimated from the available feed?
- Which cancellations are assumed to occur ahead?
- Does the simulated order alter subsequent market events?
Planned model
Run pessimistic, optimistic, probabilistic, and exact-L3 queue models on one stream and compare their fill timing and P&L.