Queue-aware placement conditions each decision (wait, reprice, cross) on the order’s position in its queue and on the sizes of the queues on both sides, not only on the prices and the time left.
Quantitative Finance · Glosario
Quantitative Finance · Glosario
Queue-aware placement conditions each decision (wait, reprice, cross) on the order’s position in its queue and on the sizes of the queues on both sides, not only on the prices and the time left.