Hi there, Take a look at the linked image. http://s11.postimg.org/s3v4bamub/Apex.jpg Assume the market had been trading below Point A for a duration of time. Only once the market began trading above Point A ($3), would you be able to place a buy limit order at $3. Assume I place a buy limit order at Point B ($3) once the market reaches the Apex. This has given the market 5 mins to place buy limit orders before mine at $3. Another 5 minutes pass until price reaches my buy limit price at Point C. From the Apex to Point C, this has given the market 5 minutes to place buy limit orders after mine at $3. My order should be ahead/behind 50% of buy limit orders at $3. Correct?
If the rate of adding new orders at your limit price was constant, then yes, your order would be behind 50% and ahead of 50% (so the median order?). But why should the rate of adding new orders be constant? When you place orders in the market, before doing so do you check the order placing rate at that time, to make sure you follow in the same rhythm? If you divide the 10-minute timeframe into smaller buckets of time, you might find that the addition of new orders during each bucket follows an approximately Poisson distribution. But different buckets will likely have different average rates, and on average the overall rate won't be constant over the 10-minutes...