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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

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  • $\begingroup$ This usually depends on the nuances of how the exchange accepts orders which you omit, not on modeling. $\endgroup$
    – LazyCat
    Commented Nov 27, 2018 at 19:44
  • $\begingroup$ A fair point, I have updated the question $\endgroup$
    – wildbunny
    Commented Nov 28, 2018 at 17:00
  • $\begingroup$ So what happens if you send an order for 1000 shares, and there's 100 left? Will you take those 100 shares and post the remaning 900? What's the fee/rebate structure? $\endgroup$
    – LazyCat
    Commented Nov 28, 2018 at 20:16
  • $\begingroup$ That's an intriguing idea which I've never considered before - the only drawback is the associated cost of the marketable part of the order, which might be marginal. The other question is whether these 100 contract opportunities arise with enough frequency. Thanks for the suggestion. $\endgroup$
    – wildbunny
    Commented Nov 29, 2018 at 10:23

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I've found some success in using a simple heuristic of the last 10s of buy volume subtracted from the depth at the ask, although this isn't terribly accurate and doesn't capture the fact that trades do not arrive at regular intervals.

Submitting when askDepth - buyVol < 0

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