Limit Order Fills

Limit Order Fills

FIFO Algorithm

For most products, futures contracts are filled using a FIFO (First in, First out) method.  

The FIFO algorithm is a matching algorithm in which all orders at the same price level are filled according to time priority. This means that the first order placed at a price level will be the first order matched, and the first order filled.

Limit Orders

A limit order allows the buyer to define the maximum purchase price for buying a future or the seller to define the minimum sale price for selling a future. A limit price cannot be filled worse than the limit price but can be filled better.

A limit order's place in the queue will change when the order's quantity is changed or when the price level the order is placed at is changed. 

In a fast moving market, your order may not be filled because the price is moving in the opposite direction of where the limit order could be filled.
 
Example: The ES is trading at a price of 5999.50, you place a working Buy Limit Order for one contract at 5999.00, but there are already 400 contracts at this price waiting to be filled.  Your order should go in as the 401st contract in the queue. 
  1. Price trades down to 5999.00, but only fills 350 contracts, then trades back to 5999.50 - You are not entitled to a fill.  
  2. Price trades down to 5998.75 - You should be filled at 5999.00, where your working order was, or 5998.75, a better price

Additional Resources

  1. Contact EdgeClear's broker team
  2. Open an account with EdgeClear


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