how to estimate the fill rate?

M

mizhael

how to estimate the fill rate?

If I stay at the near side (ie. if I am buying, I put a limit order on the buy-side, passively waiting; if I am selling, I put a limit order on the sell-side, passively waiting)...

how to estimate the fill rate for these cases from historical L1, L2 data?

Thanks a lot!
 
there is a lot of variables. first of all-what security type you are talking about? futures,stocks,bonds,options etc..then there is type of order,size,how liquid the stock and so on. i said it many times-on low volume stocks difference can be as high as 60-80%. yes,80%. specially on today's f*ked up data where trades are all over the place. below bid,above ask etc..i come up with simple rule for small stocks-at least 3 transactions >= my size and price,and eqach trade is over 100 shares of course. trades below current bid are not counted, same for short
 
You could do some limited live trading on your contracts of interest and track the volume that fires at your order price between the time when you place your order and when your order executes. After X number of trades, you should have a pretty good feel for where your orders typically land in the queue. Otherwise, it's a best guess type of thing like Bob suggests.
 
Quote from mizhael:

how to estimate the fill rate?

If I stay at the near side (ie. if I am buying, I put a limit order on the buy-side, passively waiting; if I am selling, I put a limit order on the sell-side, passively waiting)...

how to estimate the fill rate for these cases from historical L1, L2 data?

Thanks a lot!
More...

If you can estimate your PC-Ping rate for every 1 min, u can estimate your fill rate
 
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