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Quantitative Finance · Glossaire

Qu'est-ce que « Queue position, queue-position model » ?

Aussi appelé : queue position · queue-position model

Definition 18.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 18 — Order-Book Replay Simulation

The queue position of a resting order is the quantity ahead of it at its price, which must execute or cancel before it can fill. A queue-position model says how a shadow order’s queue position is set when it arrives and how it changes as the book changes.

A shadow order in the queue at its price. Executions consume the queue from the front; cancellations ahead of the order move it up, cancellations behind do not; it fills when an execution reaches it.
Figure 18.1. A shadow order in the queue at its price. Executions consume the queue from the front; cancellations ahead of the order move it up, cancellations behind do not; it fills when an execution reaches it.
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