Lesson 4 of 7 · 2 min
Queue position
Why being first at a price matters, and why touching your level isn't the same as getting filled.
At every price there's a queue of resting orders. How that queue is processed decides who gets filled.
Definition
Under price–time priority, the best price fills first, and at the same price, earlier orders fill before later ones. CME equity index futures largely follow this kind of first-in, first-out matching, though matching rules vary by product — check the exchange's documentation for specifics.
Why it matters
- If 800 contracts were resting at a price before your order, roughly 800 need to trade there before you're filled.
- That's why price can touch your limit and leave without filling you.
- When your order is near the front, a fill is more likely to be a good one; when it's at the back, you tend to get filled mostly when price is about to trade through.
Key Insight
"It touched my level" is not the same as "it traded through my level". On replay, assume you need price to trade through a limit to be confident of a fill.
Modifying orders
On many venues, changing an order's price — or increasing its size — sends it to the back of the queue at the new terms. Cancelling and re-entering always does.
Trading implication
Be realistic in backtests and replay: fills at the exact touch are optimistic. Queue position is a real, invisible cost of passive trading.
Continuing marks this lesson complete. Your progress stays in this browser.