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Quantitative Finance · Glossaire

Qu'est-ce que « Price-time priority » ?

Definition 19.1 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 19 — Matching Algorithms and Implied Spreads

Under price-time priority (first in, first out, FIFO) an incoming order trades against resting orders at the best price in the order of their priority timestamps, oldest first, each filled completely before the next receives anything.

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