to take an example: market is 999.50-999.75; then market moves up and price prints 1000.00; what % of volume from the limit orders queued at 1000.00 ends up getting executed, on average, before market moves back down a tick? (i.e. orders pre-existing at the time of the first print) i am looking for an estimate of this number for any liquid futures product. i'll do my own testing in due time, i am looking to get a rough idea for prototyping purposes; thanks in advance.