{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,16]],"date-time":"2026-08-16T16:32:27Z","timestamp":1786897947860,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We study the cost of execution non-determinism in electronic financial markets. The continuous limit order book (CLOB), used by virtually all major exchanges (Cont, Stoikov, and Talreja 2010), matches orders using price-time priority, creating a regime where participants who invest in speed infrastructure systematically capture favorable fills at the expense of slower participants. We propose a randomized queue priority mechanism that replaces time priority with random priority at each price level, eliminating the latency advantage. Using a controlled simulation exchange with 8 instruments across 5 asset classes, we run identical order flow through both mechanisms simultaneously. We find that the randomized-priority mechanism produces a targeted reduction in queue-priority advantage concentrated among speed-sensitive participants: the HFT queue win rate declines by 0.16 percentage points (42.38% \u2192 42.22%; z = 2.00, p = 0.045, two-tailed), while average slippage is near-identical across mechanisms (Cohen's d = 0.005). A participant-level decomposition reveals that HFT fast-fill rates decline by 0.39 percentage points under randomized queue priority while institutional and retail rates remain stableconsistent with the elimination of deterministic queue priority as a source of speed-based rents. More broadly, our results suggest that standard execution quality metrics under CLOB embed a distributional bias: the apparent slippage advantage of time priority reflects a transfer from slow to fast participants rather than a genuine efficiency gain.<\/jats:p>","DOI":"10.2139\/ssrn.6554981","type":"posted-content","created":{"date-parts":[[2026,4,20]],"date-time":"2026-04-20T16:10:27Z","timestamp":1776701427000},"source":"Crossref","is-referenced-by-count":0,"title":["Random Queue Priority in Continuous Limit Order Books: Evidence from a Large-Scale Controlled Simulation"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,16]],"date-time":"2026-08-16T15:56:03Z","timestamp":1786895763000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6554981"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6554981","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}