In a Fast-Moving Market, What Is the Risk of a Limit Order Being ‘Skipped’?

In a fast-moving market, a limit order can be "skipped" if the price moves past the limit price so quickly that the exchange's matching engine cannot execute the order before the price is gone. While the order remains on the book, it is bypassed by incoming market orders that are filled at prices better than the limit price.

The risk is not negative slippage, but non-execution or being filled later at a price far from the initial market movement.