What is a good spot in the queue worth?
The bid is with shares already queued ahead of you (time priority). Your fair value is , so a fill at earns you a -cent edge. You can:
- Join the queue at , free, but you're behind shares, so you estimate only a chance of filling your before the price moves.
- Step ahead to , costs you a cent of edge, but you're first in line, so you fill about of the time.
Which is better in expectation, and what does the comparison say about queue value?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.