PRICE ESTIMATION OF LIMIT ORDER WITH HIGH EXECUTION PROBABILITY

Abstract

Limit order price estimation algorithm is considered in the article. Algorithm increases execution probability. It is based on the processing of the first level capital market data such as tick trades and quotes. It is shown and proved by practical results that algorithm allows successfully detect price of limit order for good position entry and exit.

Keywords

• лимитный ордер
• совершенные сделки
• спрос
• предложение