Does Queue-Jumping Drive Equity Market Fragmentation?

56 Pages Posted: 21 Nov 2019 Last revised: 6 Jun 2022

See all articles by Sean Foley

Sean Foley

Macquarie University

Anqi Liu

The University of Sydney

Elvis Jarnecic

The University of Sydney; Financial Research Network (FIRN)

Date Written: November 10, 2019


We identify queue-jumping as a key mechanism that causes markets to fragment. We use the introduction (and partial removal) of the Order Protection Rule, which enforces strict inter-venue price (not time) priority, to observe its impacts on fragmentation. We document that brokers increasingly fragment their liquidity provision activities amongst alternative venues, and liquidity providers attempt to jump long queues on larger venues by increasing submissions to venues with short (or empty) queues, which reduces their adverse selection costs. Our findings help explain the acceleration of fragmentation in markets with trade-through prohibitions as compared to best executions, providing clear policy implications.

Keywords: Fragmentation, Trade-through prohibition

JEL Classification: G10, G20

Suggested Citation

Foley, Sean and Liu, Anqi and Jarnecic, Elvis, Does Queue-Jumping Drive Equity Market Fragmentation? (November 10, 2019). Available at SSRN: or

Sean Foley

Macquarie University ( email )

North Ryde
Sydney, New South Wales 2109
0417702600 (Phone)

Anqi Liu (Contact Author)

The University of Sydney ( email )

Business School Abercrombie building
Sydney, NSW 2006

Elvis Jarnecic

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane


Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics