Hidden Liquidity Execution Probability

objective

Estimate hidden-liquidity execution probability and route orders with toxicity-aware controls.

workflow

1. define candidate venues and hidden-liquidity access logic.
2. build execution-probability features from queue, prints, and venue states.
3. estimate fill probability and expected adverse-selection cost.
4. compare hidden-liquidity routes to lit fallback alternatives.
5. deploy only when expected value remains positive after delay risk.

required diagnostics

• fill-probability calibration by venue and time bucket.
• adverse-selection rate conditional on hidden fills.
• latency-to-fill impact on expected opportunity cost.
• route-level false-positive and false-negative fill signals.
• execution quality drift after venue microstructure changes.