Price-Time Priority on HyperCore
HyperCore's central limit order books reward better prices first and earlier resting liquidity at the same price, making queue position a real part of execution quality.
In a price-time-priority order book, an order at a better price has priority over an order at a worse price. At the same price, the order that arrived earlier is normally ahead in the queue. That means a market maker's fill probability depends not only on quoted spread but on where its order sits within each price level.
Price comes first
A buy order at a higher bid is willing to pay more, so it has execution priority over lower bids. A sell at a lower ask has priority over higher asks. A marketable incoming order consumes the best available prices before walking to worse levels.
Time breaks ties
At one price, resting orders form a queue. Cancelling and replacing a quote can lose time priority even if the new price is unchanged.
That creates a trade-off: update stale quotes quickly or preserve queue position. A high-frequency maker model needs to estimate whether the fair-value change is large enough to justify giving up its place.
Displayed depth hides queue ownership
An L2 level can show total size without telling a simple client exactly how much is ahead of its own order unless order-level data or account order state is combined appropriately. Fill models that assume “my 10 units are 10% of a 100-unit level” can be badly wrong.
Taker execution
A taker crossing the spread receives the best available prices in sequence. A large order can fill across many levels, producing a volume-weighted average price that is materially worse than the best quote seen before submission.
Why this matters for backtesting
A candle backtest has no queue. Even a historical L2 backtest needs assumptions about order arrival, latency, cancellations, and queue position. Market-making results that ignore those mechanics tend to overstate fills and understate adverse selection.