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ickyforce | 1 year ago

CME documentation states:

"LMM – CME Designated Lead Market Makers are each allocated a configurable percentage of an aggressor order quantity before the remaining quantity passes to the next step."

Certain matching algorithms allocate orders to LLM before considering FIFO - specifically algorithm T (LMM w/o Top). So I guess it depends on how strict is your definition of "FIFO order queue".

https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSAN...

https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSAN...

(I don't know the internals of the mentioned exchanges)

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