FIFO Queue

The FIFO queue, or First-In-First-Out, is the logical structure of a Price-Time priority matching engine. It acts as a sequential line where orders are processed in the exact order they were received by the server.

This structure is essential for maintaining fairness in a high-speed environment. Every order is timestamped upon arrival, and the matching engine iterates through this queue to match incoming aggressive orders against the passive liquidity providers.

If a trader cancels or modifies their order, they typically lose their place in the FIFO queue, which is a crucial consideration for market makers. Managing one's position in the FIFO queue is a key technical challenge for algorithmic traders who need to ensure their quotes are filled before others.