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Detect when a resting limit order is alone at its price level

The MarketPosition state level_empty reports when our resting limit order is the only quantity left at its price. The detector relies on the queue tracker's view of non-our quantity at the level and works under both TOB and FULL queue models.

When it fires

level_empty fires when:

  1. The queue tracker is enabled (cfg.queueModel != NONE)
  2. The non-our quantity at our exact price is zero
  3. Either we are at best on our side, or no level on our side exists in the book (we are the only quote there)

The detector handles the common case where a level "vanishes" from the book snapshot — providers usually drop levels at zero quantity rather than reporting qty=0. The simulator now zeroes out any tracked level that disappears from the next book snapshot so the queue tracker stays in sync.

Configure

Just enable the queue tracker — no extra config:

executor.set_queue_model("tob")  # or "full"

flox::BacktestConfig cfg;
cfg.queueModel = flox::QueueModel::TOB;

React from a strategy

class Watcher(flox.Strategy):
    def on_market_position_change(self, ctx, ev):
        if ev.market_position == "level_empty":
            # alone at our price — reprice tighter or step back
            pass

Notes

  • Under queue_model=none the detector returns unknown for level-empty queries; you need TOB or FULL to get this signal.
  • "Non-our quantity" is tracked from the book snapshots you feed into the executor. The simulator never publishes our own resting orders to its own book, so the level's totalQty represents other resting participants only.
  • The state is exclusive with best: if we are at best and no others share our level, we are level_empty, not best. Both imply "best", but level_empty is the tighter classification.