Super resolution microscopy such as STORM and (F) PALM is now a well known method for biological studies at the nanometer scale. However, conventional imaging schemes based on sparse activation of photo-switchable fluorescent probes have inherently slow temporal resolution which is a serious limitation when investigating live-cell dynamics. Here, we present an algorithm for high-density super-resolution microscopy which combines a sparsity-promoting formulation with a Taylor series approximation of the PSF. Our algorithm is designed to provide unbiased localization on continuous space and high recall rates for high-density imaging, and to have orders-of-magnitude shorter run times compared to previous high-density algorithms. We validated our algorithm on both simulated and experimental data, and demonstrated live-cell imaging with temporal resolution of 2.5 seconds by recovering fast ER dynamics.