Percentage of time markets are normal (neither crossed nor locked).

<p>Percentage of time markets are normal (neither crossed nor locked).</p

Volatility as measured by the variance of the difference in transaction prices.

<p>Volatility as measured by the variance of the difference in transaction prices.</p

Order routing policy.

<p>A new buy limit order at price arrives and is routed to market 1 since it will have better priority at that price, i.e. . In market 1, a new limit order to buy at is first in the queue with no depth ahead toward the best ask. In market 2, the same order is third in the queue. A new market order to sell is routed to market 2 since <i>b</i>₂(<i>t</i>)><i>b</i>₁(<i>t</i>).</p

Limit order book diagram.

<p>A new buy limit order arrives at price <i>b</i>(<i>t</i>) increasing the depth from 2 to 3. A new buy market order executes at the best ask increasing the spread and changing the mid-quote.</p

Sensitivity of locked state duration.

<p>Proportion of time market is in locked state as a function limit and market order arrival rates for <i>α</i> = 1 and <i>β</i> = 0.</p

Mean spread in the consolidated book.

<p>Mean spread in the consolidated book.</p

Non-improving priority routing mechanism.

<p>Non-improving priority routing mechanism.</p

Sensitivity analysis of the consolidated spread.

<p>Mean consolidated spread as market and limit order arrival rates are varied for <i>α</i> = 1 and <i>β</i> = 1.</p

Consolidated spread and volatility results.

<p>Consolidated spread and volatility results.</p

Percentage of time markets are crossed.

<p>Percentage of time markets are crossed.</p