I have used statistical models of volatility to improve execution prices. It doesn’t require very advanced modeling to estimate a probability of e.g. getting f

I have used statistical models of volatility to improve execution prices. It doesn’t require very advanced modeling to estimate a probability of e.g. getting filled at midprice (saving half the bid/ask spread) within a short time period. Just basic Bayesian with a look-back window. Execution cost is a big topic in the trading industry.