Fill Probability Quant Interview Guide
Fill probability quant interview guide covering queue position, order flow, cancellations, price moves, adverse selection, and examples.
Candidates evaluating limit orders, queues, and execution uncertainty.
Fill probability estimates execution chance
A passive order may or may not trade before it is canceled, repriced, or made irrelevant by market movement and urgency.
Queue and flow drive fills
Orders ahead in queue, incoming market orders, cancellations, hidden liquidity, and price changes all affect whether a limit order fills.
Concrete example
A buy order at the best bid with many shares ahead needs enough sell flow or cancellations ahead before receiving execution.
Fills can be adversely selected
High fill probability is not always good if fills happen mainly when informed sellers expect the price to fall after execution.
Common mistakes
Candidates often evaluate passive orders by limit price only. Expected value also needs fill chance and post-fill price behavior.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.