Marketable vs Non-Marketable Limit Orders
A marketable limit order fills now at a capped price; a non-marketable one rests in the book. See the split at the NBBO with real quote and fill data.
#market-microstructure
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How Exchange Speed Bumps Work
How exchange speed bumps work: which messages a 350 microsecond delay holds back, what it does to queue position, and when the quote stays protected.