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.
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.