Besides the time you submitted the order, are there any other determinants of priotity? For example, does a 50 contract limit order get more priority than a 1 contract limit order? What if it's a 50 contract all-or-none? Say you have a 50 contract limit all-or-none resting on the bid. There are 5 contracts in front of you. Now a market order to sell 50 contracts comes in. Who gets filled?
On an ECN limit orders are prioritized first by price, then by time. First come, first served. Every time you modify an order, you head to the back of the line. When dealing non-electronic markets, specialists and market makers pretty much order things however they like. As long as nobody complains, it's their perogatives. There are regulatiuons that must be followed. But you will typically find the attitude of "if they didn't get caught, they didn't break any regulations." -Raystonn
http://www.cme.com/files/GLOBEX brochure final.pdf this document has a chapter on "order entry & management" on cme globex. you should find the same info on the cbot/ecbot homepage. subsequent pages show the different matching algorithms used, this should answer your question. best, cosmic