Queuing Theory and LOB

[A_Cow_Ski]

A very general question, but I hope maybe someone can point me in the direction of something practical regarding equity orders, their routing in both major and off-site exchanges and if queuing theory models can help in understanding any meaningful aspect of market micro-structure and the matching engines used on those exchanges? Thanks

[GeekySerge]

Check section 5.5 "Queueing models of LOB dynamics" from the recent book (Dec 2016) "Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization" by Xin Guo, Tze Leung Lai, Howard Shek and Samuel Po-Shing Wong.

It should give you some hints and references on how to framework limit order books dynamics with queueing theory.