AURORA LAB / 02
Depth hides
queue position.
Change the cancellation location. Compare total depth with the quantity ahead of the observed order.
INTERACTIVE / QUEUE POSITION
Same depth. Different position.
Three unit orders share one price in a first-in, first-out (FIFO) queue. I is the order we observe. Choose whether to cancel U ahead of I, or V behind it.
BEFORE
U 1I 1V 1
Total depth 3 · Quantity ahead of I: 1
AFTER
I 1V 1
Total depth2
Quantity ahead of I0
Cancelling U changes the quantity ahead of I from 1 to 0; total depth falls from 3 to 2.
Assumptions: one price, three displayed unit orders, FIFO and one full cancellation; no hidden quantity or new events. This example does not calculate fill probability.