The exchange I'm trading on lacks a workable stop limit order type (and just deprecated OTO orders), so in order to be first at the old ask with my bid on an up tick, I have to predict the time when the volume at the ask will reach zero.
Does anyone have any pointers for how to go about modelling this? I've tried a simple linear regression on the last 10s of ask volumes but the result is erratic. Do I need to be looking at things like ACD models, or are things a lot simpler than that?
edit: the exchange in question is a continuous double auction, futures exchange trading bitcoin