  We study a microscopic limit order book model, in which the order dynamics
depend on the current best bid and ask price and the current volume density
functions, simultaneously, and derive its macroscopic high-frequency dynamics.
As opposed to the existing literature on scaling limits for limit order book
models, we include price changes which do not scale with the tick size in our
model to account for large price movement, being for example triggered by
highly unforeseen events. Our main result states that, when the size of an
individual limit order and the tick size tend to zero while the order arrival
rate tends to infinity, the microscopic limit order book model dynamics
converge to two one-dimensional jump diffusion processes describing the prices
coupled with two infinite dimensional fluid processes describing the standing
volumes at the buy and sell side.
