We model an electronic limit order book as a multi-class queueing system under fluid dynamics, and formulate and solve a problem of limit and market order placement to optimally buy a block of shares over a short, predetermined time horizon. Using the structure of the optimal execution policy,...

In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books operating under a “price-time” priority rule and, in turn, can be modeled as multi-class FIFO queueing systems. A market with multiple...