Exactly - getting matched is a big problem, and is the main way that bookmakers are able to prohibit winners. Most people in the UK have had their stakes limited after a couple of winners, and it's almost become a joke.

Betfair and other exchanges provide more opportunity, but if your Kelly output is telling you to put £5k on a horse on a Tuesday evening AW track race, you are going to have to spend some time thinking about how you _actually_ do that without having the odds spiral in: markets respond to liquidity, and you are liquidity.

There are some papers on how to deal with this, but none of them have a solid answer. My solution was to put in the amount Kelly advised and if I didn't get fully matched, c'est la vie!