FIFO queue priority via price-level episodes: join back of queue, only trades
advance, fill when same-side aggressor volume clears the queue. Re-measures
markout + OFI-conditioning on ACTUALLY-WON (adversely-biased) fills.
Verdict (Q1+Q2 2024 ES): ~40% fill rate; won-fill markout -0.50..-0.55t
(winner's curse vs optimistic -0.40t); naive AND OFI-conditioned passive MM
both NEGATIVE (-$1..-$2/fill). The optimistic Q2 OFI tilt was a win-every-queue
artifact. Combined with the crossing result: no capturable seconds-horizon ES
edge for a non-colocated participant.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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