Recent content by lgon

For instance in futures market (e.g. CME), if you're not a MM your limit orders are filled depending on your queue position (MM have some pro rata fills guaranteed). Is there a way to know your queue position or to improve your position? How can you estimate if your limit order will be filled...

Great job hft. Some questions: 1) How reliable is market depth for algo models, for instance in CME, when so many orders are fastly created and cancelled? 2) Why such a preference for "marketable" limit orders vs market orders to enter or exit a position? 3) How do HFT normalize all...