Research preview

The recent news about a failed execution in a high‑stakes legal case underscores how execution risk can have consequences far beyond the trading floor. For quantitative traders, understanding the mechanics of order queues and the interaction between limit and market orders is essential to managing slippage, fill probability, and downstream legal or compliance exposure. Order Queues Are Not First‑Come‑First‑Served in Practice In most electronic limit order books, each price level maintains a FIFO (first‑in‑first‑out) queue of resting orders. A limit order that arrives earlier enjoys a priority advantage over later orders at the same price....