Limit order markets - where a subset of traders provide liquidity on a discretionary basis - are the dominant exchange mechanism for financial assets. We analyse the resilience of these markets using Betfair limit order book trading on the Wimbledon Tennis Championships. As matches go inplay, the risk involved in liquidity provision intensifies, as the value of bets can change substantially in a matter of seconds, and, at the end of the match, certain bets are worthless. Our headline result is that liquidity declines by 657% inplay, relative to the pre-match period. Furthermore, a series of difference-in-difference tests reveal this collapse to be disproportionate to the increase in risk. Overall, our results highlight the fragility of limit order markets when discretionary liquidity provision is put under extreme stress.
