
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 offsite exchanges and if queuing theory models can help in understanding any meaningful aspect of market microstructure and the matching engines used on those exchanges? Thanks 




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

