Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Order lifetime, fleeting order?

Também chamado de: order lifetime · fleeting order

Definition 3.3 Microstructure and Execution · Capítulo 3 — Empirical Facts of Order Books

An order’s order lifetime is the time from its arrival to its full cancellation or execution. A fleeting order is one cancelled in full within a short time of its arrival (two seconds is a common threshold).

The share of orders cancelled within a given time, executions treated as censoring (lifetable estimates): US stocks by capitalisation group in 2026 Q2 (SEC MIDAS, Hazards and Survivors) and the simulated day. Data: data/microstructure/midas_lifetimes.csv, mx_facts.lifetable.
Figure 3.3. The share of orders cancelled within a given time, executions treated as censoring (lifetable estimates): US stocks by capitalisation group in 2026 Q2 (SEC MIDAS, Hazards and Survivors) and the simulated day. Data: data/microstructure/midas_lifetimes.csv, mx_facts.lifetable.
Ler no capítulo →