Quote from toe:
Thanks def I suspected that. What about the issue of an orders place in the queue, would that take up too much in terms of resources? Is an order filled the moment it becomes marketable at the moment?
IB's paper trading contains something that attempts to simulate priority queue. If you join the BBO bid or ask, paper trading system keeps track of size "in front" of you and counts trades happening at your price until the queue in front is exhausted. It also treats BBO size decrease as a signal that someone cancelled and you moved up in line.