Assuming that one doesn't have any kind of priveleged data feed (i.e. info is depth of book and volume executed at bid and ask), is it inherently easier to more accurately estimate position in queue in a limit order book that is strictly FIFO (as opposed to those where orders can receive priority according to any factor other than time of submission)?
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Yes, it's easier to estimate position if there are fewer rules to worry about.
answered Feb 17, 2013 at 13:28