Order-Size Increases Can Reset Limit-Order Queue Priority

Summary

The document addresses whether a trader keeps queue position after increasing the size of a resting limit order. Its example starts with a smaller order at the best bid and considers submitting an update when the desired size grows. The accepted response says that, under the venue behavior assumed in the answer, increasing the displayed size is handled like cancelling the existing order and inserting a new one. The replacement therefore joins behind orders already resting at that price.

This matters to execution decisions: gaining more displayed size can cost time priority, which may reduce the chance of being filled before competing orders. The answer is brief and gives no exchange-specific rules or supporting market data. Order modification priority can differ by venue, order type, and the fields changed, so traders should check the relevant exchange’s matching rules before relying on this generalization. The document explains the potential queue cost, but does not compare it with alternative order-management choices or quantify fill impacts.

Key ideas

• Increasing a resting order’s size may cause it to lose time priority.
• A replacement order can be placed behind other orders at the same price.
• The queue cost may matter when deciding whether to increase displayed size.
• Priority rules depend on venue and order details, which the response does not specify.

Tags

# Change of order size


# Change of order size












For example I am put a limit order of size 10 at top bid. moments later, my algorithm detects we should have size of 50 here. So we request a update on this order.

My question is, will we lose the current queue position due to this update?

## Answer by Konsta (score 4, accepted)

https://quant.stackexchange.com/a/10223

Yes. Increasing the size of an order is like cancelling and reinserting it. You lose queue priority and insert behind the other orders.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.