Let’s take the case of a stock which is in upper circuit and I placed an order which is pending. Presently I have no way to know that at what number is my order lying in the queue of all pending orders.
For example, there were 1000 pre-existing pending orders and I placed 500 orders. After I placed the order, more 5000 orders are placed. So in current market depth, it only shows 6500 orders. I want to know where exactly in the queue my order lies, which would be a great data point for me to use as a proxy of probability of execution of my order.
Well I think even with Level 3 data you can’t see your exact queue position. Exchanges only show aggregated orders, not individual placement. At best may be you can just estimate based on time and total pending orders.
