The shaping of a limit order book illustrates the dynamics of the trading process, the changing pattern of the execution probability of limit orders therefore plays an important role. This paper presents a computable execution probability model for limit order market, as well as a numerical example that intuitively characterizes the changing pattern of the execution probability. The common effects of the lengths of both buy and sell queues on the execution probability are explored. In the limit book, the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.

限价订单簿的形成说明了交易过程的动态，因此限价订单执行概率的变化模式起着重要的作用。本文提出了限价订单市场的可计算执行概率模型，以及一个直观地描述执行概率变化模式的数值示例。探索了买卖队列长度对执行概率的共同影响。在极限书中，引入极限订单的累积概率作为市场深度的关键指标，以描述整形过程，从而为定单决策的结构带来新见解。