Hi, does anybody know how orders submitted to the exchange are prioritised? For limit orders for instance, are they filled according to the order they are received or does the size of the order also play a role? Also, are hidden orders given lower priority vs show orders? I had a recent experience with BAC where if the bid was at 8.08, ask at 8.09, a limit order submitted at 8.08 would not fill despite the fact that there were frequently last trades with price 8.08. Even if my buy at 8.08 was submitted relatively early, I would not get filled until the ask falls to 8.08 or lower. This was using a DMA (direct market access) brokerage so I suspect it is something to do with exchange order priorities. Can anybody offer any insight?