Research preview

The recent public opening of Beijing’s historic Liulige Courtyard reminds us that hidden layers—whether in architecture or market microstructure—can profoundly affect what we see on the surface. In electronic trading, the depth of the limit‑order book and the choice between limit and market orders are those hidden layers that determine whether a trade is filled, partially filled, or left waiting. This article walks quantitative traders through the mechanics of queue position, order size, and execution probability, using a concrete worked example to illustrate the concepts. The Anatomy of the Limit‑Order Book A limit‑order book is a ranked list of standing orders at each price level....