Questions / Quant trading, Execution & microstructure
Expected fill is not full fill
A passive order for 100 shares has a 60% chance of a full fill and otherwise no fill. Under exactly this model, what is expected filled quantity?
Answer it in the app It's free. You get hints, a second try if you miss, and a follow-up question.
Show the answer and worked solution
Answer: 60 shares
- Expected quantity is 0.6 × 100 + 0.4 × 0 = 60.
Interview shortcut. Expected fill = fill probability × size.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.