Queue Models

class RiskAverseQueueModel

Provides a conservative queue position model, where your order’s queue position advances only when trades occur at the same price level.

class ProbQueueModel

Provides a probability-based queue position model as described in https://quant.stackexchange.com/questions/3782/how-do-we-estimate-position-of-our-order-in-order-book.

Your order’s queue position advances when a trade occurs at the same price level or the quantity at the level decreases. The advancement in queue position depends on the probability based on the relative queue position. To avoid double counting the quantity decrease caused by trades, all trade quantities occurring at the level before the book quantity changes will be subtracted from the book quantity changes.

class IdentityProbQueueModel

Bases: ProbQueueModel

This model uses an identity function x to adjust the probability.

class SquareProbQueueModel

Bases: ProbQueueModel

This model uses a square function x ** 2 to adjust the probability.

class PowerProbQueueModel(n)

Bases: ProbQueueModel

This model uses a power function x ** n to adjust the probability.

class LogProbQueueModel

Bases: ProbQueueModel

This model uses a logarithmic function log(1 + x) to adjust the probability.

class ProbQueueModel2

Bases: ProbQueueModel

This model is a variation of the ProbQueueModel that changes the probability calculation to f(back) / f(front + back) from f(back) / (f(front) + f(back)).

class LogProbQueueModel2

Bases: ProbQueueModel2

This model uses a logarithmic function log(1 + x) to adjust the probability.

class ProbQueueModel3

Bases: ProbQueueModel

This model is a variation of the ProbQueueModel that changes the probability calculation to 1 - f(front / (front + back)) from f(back) / (f(front) + f(back)).

class PowerProbQueueModel3(n)

Bases: ProbQueueModel3

This model uses a power function x ** n to adjust the probability.