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High-frequency trading in a limit order book - New York …
www.math.nyu.eduby a market order. These limit orders pb and pa can be continuously updated at no cost. The distances b ¼ s pb and a ¼ pa s and the current shape of the limit order book determine the priority of execution when large market orders get executed. For example, when a large market order to buy Q stocks arrives, the Q limit orders with the lowest ask