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Quantitative Finance · Glossary

What is Queue-join rule, queue-exit rule?

Also known as: queue-join rule · queue-exit rule

Definition 5.4 Market Making and High-Frequency Trading · Chapter 5 — Queue-Reactive Models and Large-Tick Assets

A queue-join rule decides whether to place an order at the back of a best queue, given the state of the book; a queue-exit rule decides whether to cancel an order already resting, given the state of the book and the order’s place in its queue.

The join-and-leave rule on six simulated sessions of twenty minutes: ten-second edge a session and ten-second mark-out per share filled, against the threshold (=0 is always joining). Data: hf_queues.sweep.
Figure 5.3. The join-and-leave rule on six simulated sessions of twenty minutes: ten-second edge a session and ten-second mark-out per share filled, against the threshold θ\theta (θ=0\theta=0 is always joining). Data: hf_queues.sweep.
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