  An ability to postpone one's execution without penalty provides an important
strategic advantage in high-frequency trading. To elucidate competition between
traders one has to formulate to a quantitative theory of formation of the
execution price from market expectations and quotes. This theory was provided
in 2005 by Foucault, Kadan and Kandel. I derive asymptotic distribution of the
bids/offers as a function of the ratio of patient and impatient traders using
the dynamic version of the Foucault, Kadan and Kandel dynamic Limit Order Book
(LOB) model.
  Dynamic version of the LOB model allows stylized but sufficiently realistic
representation of the trading markets. In particular, dynamic LOB allows
simulation of the distribution of execution times and spreads from
high-frequency quotes. Significant analytic progress is made towards
understanding of trading as competition for immediacy of execution between
traders. The results are qualitatively compared with empirical volume-at-price
distribution of highly liquid stocks.
