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Quantitative Finance · Glossary

What is Queue depletion rate, cancellation rate?

Also known as: queue depletion rate · cancellation rate

Definition 8.7 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 8 — Order-Book Features

The queue depletion rate of a best queue is the quantity leaving it per second (cancellations and executions) over a trailing window; its cancellation rate counts cancellations only.

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