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Quantitative Finance · Begrippenlijst

Wat is Queue value?

Definition 6.4 Microstructure and Execution · Hoofdstuk 6 — Tick Size, Queues and Priority

The queue value of a limit order is its expected profit per share from the moment it joins a queue: the probability that it fills times the spread it captures on a fill less the adverse selection it suffers after one, net of fees. The value of queue position is the difference between the queue values of orders at the front and at the back of the same queue.

Queue position on the simulated venue, four hours per grid. Left: the share of orders that fill, against the orders ahead at entry, with the birth–death formula at the rates measured on the same sessions (dashed). Right: spread capture less 30-second adverse selection, per share posted. Data: mx_ticks.tick_experiment.
Figure 6.2. Queue position on the simulated venue, four hours per grid. Left: the share of orders that fill, against the orders ahead at entry, with the birth–death formula at the rates measured on the same sessions (dashed). Right: spread capture less 30-second adverse selection, per share posted. Data: mx_ticks.tick_experiment.
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