If you're inclined to market making or working bids and offers - it is paramount to understand how each electronic trading exchange allocates order fills.
Legitimate Resting Orders are always given priority. It's important to know that if you are using automation it must be approved in advance by the CME. (work with your FCM on this - if you're using the canned TT, CQG IC, or Orc tools that's already been done) Depending upon your strategy your automation may receive a "conditional" order tag by the CME - which means that your strategy will always be 'tail end Charlie' in the order queue priority. For example - if your automated strategy injects bids and offers for September 2020 Eurodollars based upon certain June 2020 Eurodollar best bid/best offer price levels then your orders will be tagged by CME as "conditional".
Some select items of note:
Generally speaking, all energies on the CME-Nymex and ICE exchanges are FIFO matched (First In, First Out).
The CME equity indices (ES, NQ, YM, etc.) are FIFO matched.
The most liquid and popular FX futures on CME are FIFO. The less liquid FX are typically Pro Rata matched.
CME STIR (ie, Eurodollar) Interest Rate Futures blend a small FIFO allocation (TOP) with the balance filled via Pro Rata.
The CME/CBoT 2 and 3 Year Notes are 40% FIFO 60% Pro Rata.
The CME/CBoT 5's, 10's, 30's, Ultra are FIFO.
https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&ved=2ahUKEwjxrYqbucTlAhUJnKwKHUxUDesQFjAFegQIABAC&url=https://www.cmegroup.com/globex/files/globex-product-reference-sheet.xls&usg=AOvVaw2icQeEFWAwDQ1BadmExdCm
Legitimate Resting Orders are always given priority. It's important to know that if you are using automation it must be approved in advance by the CME. (work with your FCM on this - if you're using the canned TT, CQG IC, or Orc tools that's already been done) Depending upon your strategy your automation may receive a "conditional" order tag by the CME - which means that your strategy will always be 'tail end Charlie' in the order queue priority. For example - if your automated strategy injects bids and offers for September 2020 Eurodollars based upon certain June 2020 Eurodollar best bid/best offer price levels then your orders will be tagged by CME as "conditional".
Some select items of note:
Generally speaking, all energies on the CME-Nymex and ICE exchanges are FIFO matched (First In, First Out).
The CME equity indices (ES, NQ, YM, etc.) are FIFO matched.
The most liquid and popular FX futures on CME are FIFO. The less liquid FX are typically Pro Rata matched.
CME STIR (ie, Eurodollar) Interest Rate Futures blend a small FIFO allocation (TOP) with the balance filled via Pro Rata.
The CME/CBoT 2 and 3 Year Notes are 40% FIFO 60% Pro Rata.
The CME/CBoT 5's, 10's, 30's, Ultra are FIFO.
https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&ved=2ahUKEwjxrYqbucTlAhUJnKwKHUxUDesQFjAFegQIABAC&url=https://www.cmegroup.com/globex/files/globex-product-reference-sheet.xls&usg=AOvVaw2icQeEFWAwDQ1BadmExdCm
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