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In the scenario where an aggressing order quantity is greater than or equal to the displayed quantity in an instrument at a given price level, for matching efficiency, CME Globex applies FIFO in lieu of the designated product algorithm. Quantity is allocated to resting orders according to best price and earliest timestamp.
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This exception applies during the actual match in an instrument, not during predetermination. |
FIFO Exception Steps
1. An aggressing order arrives for a quantity greater than or equal to that displayed at the given price level for the instrument.
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