Price-Time Priority
Market Microstructure glossary · Limit Order Book Mechanics & Order Routing Logic
Definition
The most common matching rule in continuous auctions: among orders at the same price, the order that arrived first is executed first; better-priced orders always execute before worse-priced ones.
Price-Time Priority in plain English
This is the everyday rulebook exchanges use to decide whose order fills first, and it has two layers. First, price wins: a better-priced order always beats a worse-priced one (a buyer offering more, or a seller asking less, goes ahead). Then, for a tie — orders at the exact same price — time breaks it: whoever got there first gets filled first, just like a line at a coffee shop where the earliest arrival is served first, but a VIP with a better offer could still skip ahead. So it's 'best price first, and among equal prices, first-come-first-served.'
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