What is FIFO (first in, first out)?
A matching rule where resting orders at the same price are filled in the order they arrived. Under FIFO, price touching your limit price does not mean your order filled.
In context
When many limit orders wait at the same price and an aggressor arrives, the exchange's matching engine must decide which waiting orders get filled first. CME uses several matching algorithms. The most widely used is FIFO (first in, first out): at a given price, the order that arrived first is filled first. Published data indicates FIFO accounts for the largest share of volume on CME Globex. Some other products use pro-rata matching (fills split in proportion to order size) or a hybrid. Check the official CME specification for the algorithm on any contract you trade; in this book we work with FIFO for gold.