Research preview

Novak Djokovic captured his 102nd singles title when Alex de Minaur retired injured in the China Open final. The abrupt end to a closely contested match mirrors the sudden halt that can occur in a trading queue when liquidity dries up. Understanding how limit orders sit in the order book and how market orders consume that depth is essential for quantitative traders who design execution algorithms. The Anatomy of the Order Book An electronic limit order book is a ranked list of buy and sell orders at each price level. Each price point can hold many individual orders, and the total quantity at that price is called the *queue depth*....