Research preview

The Lisbon Marathon victory of Ethiopian runner Meskerem Mamo showcases the power of pacing and positioning. In the same way a runner positions herself in the pack, a limit order must find its place in the order book queue. Understanding how queue depth and order size interact can prevent unexpected slippage and improve execution quality for quantitative strategies. The Parallel Between Racing Strategy and Order Placement A marathon runner who knows the course and her competitors can conserve energy and time‑split effectively. Similarly, a quant trader who knows the depth of the limit order book can time order entry to avoid being left behind in the queue....