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Quantitative Finance · Begrippenlijst

Wat is Passive fill probability?

Definition 18.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 18 — Order-Book Replay Simulation

The passive fill probability of a resting order over a horizon is the probability that the executions at its price consume the queue ahead of it and reach it within the horizon.

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