If I place a limit order to buy a stock at the bid, what is the expected number of shares that will be filled by the close? I think it depends on
- The time until the close. More time until the close increases the number of shares filled.
- The size of the bid and the ask. More shares offered than bid suggests that there are more sellers to hit my bid, increasing the number of shares filled.
- The volatility of the stock. The higher it is, the more likely the stock will trade through my bid, getting me a fill.
- The average daily volume of the stock. Higher volume should mean more shares filled.
Is there a theory for how the expected shares filled for a limit order depends on these variables?