Research preview

The headline about a violent prison altercation may dominate the news cycle, but for quantitative traders the real drama unfolds in order books. Understanding how limit orders sit in queues, how market orders interact with that depth, and why partial fills matter can be the difference between a profitable strategy and a hidden loss. This article uses a concrete worked example to illustrate queue dynamics and then shows how to incorporate those insights into execution models. The Anatomy of a Limit Order Queue When a limit order is posted, it joins a price‑level queue that is ordered by time priority....