How would you evaluate the value of an order in a given limit at a given queue position in the order book ? For example let's say I am a market maker in BTC-USD and I would like to play some HFT games and value my orders at level greater than the first one. How would you do this or are you aware on literature dealing with this ?
Assigning a monetary value to queue position in this way seems very hard. I myself am not aware of any literature on this. What makes this problem particularly hard is that there is also value in being able to quickly cancel the quote in response to news which I think should be incorporated somehow. How quick one can cancel would depend on the participant and per participant on the source of the news. For example, the source could be prices on another exchange or a Twitter feed. This data is retrieved with different levels of latency.