% of queued limit orders executed at market

Discussion in 'Automated Trading' started by fader, Jun 15, 2006.

  1. fader


    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.