Order Aggressiveness Modeling

objective

Model and calibrate order aggressiveness to maximize fill quality while controlling information leakage.

workflow

1. define aggressiveness states and queue-priority assumptions.
2. estimate fill probability and adverse-selection by aggressiveness level.
3. model alpha decay versus waiting cost for passive orders.
4. optimize aggressiveness policy by market state and urgency.
5. deploy only when policy improves net execution utility.

required diagnostics

• fill probability by aggressiveness bucket and venue.
• adverse-selection cost conditional on aggressive fills.
• queue-wait opportunity cost under alpha decay.
• policy regret versus ex-post best aggressiveness.
• stability of aggressiveness transitions across regimes.

risk controls

• enforce maximum aggressive participation under stress.