Research preview

The FBI recently disrupted a planned weapons purchase in Minnesota, highlighting how quickly events can unfold and how market participants must react to sudden information. In quantitative trading, the same speed and precision are required when orders sit in a limit‑order book. Understanding the mechanics of queue position and the interaction between limit and market orders can sharpen execution strategies and protect against adverse fills. The Anatomy of the Order Book Queue An exchange’s limit‑order book is a priority queue sorted first by price and then by time. When a trader submits a limit order, it joins the back of the line for that price level....