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Price-time priority

The most common matching rule: better prices trade first, and among orders at the same price the one that arrived earliest fills first.

It rewards two behaviours — improving the price, and committing early. Because the rule is mechanical, a resting order's place in line is knowable, and strategies are built entirely around holding good spots.

Most equity venues and many futures markets use it. The main alternative is pro-rata-allocation, which rewards size instead of speed.

Example: 10,000 shares are bid at 30.00 across four orders that arrived in this sequence: A 2,000, B 5,000, C 1,000, D 2,000. A seller hits 6,000 shares. A fills 2,000, B fills 4,000, and C and D get nothing. If D had bid 30.01 instead, D would have filled first despite being last in time, because price beats time.

Related: queue-position, pro-rata-allocation, matching-engine, order-book

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