When a trader places a Limit Order on the exchange, the order is placed into the Limit Order Book in the sequence that they are received by the exchange. The position in the order book, is known as the ‘order in the queue‘ or ‘Time Rank’.
The Limit Order may be filled in a different sequence than its place in the queue. The sequence that an order is filled is dependent on the exchange, the instrument being traded and the matching algorithm that is used to fill the orders.
A contract such as the S&P 500 e-mini (ES) or Light Sweet Crude Oil WTI (CL) is filled in a ‘First In – First Out’ algorithm meaning that the orders are executed in the order that they are received. Consult the contract specifications for your futures contract on the exchange on which your instrument is being traded.
A general description of the different order algorithms can be found at the following links:
While it varies between futures contracts, it is important to remember that changes to the original order, most often results in the order being placed at the back of the queue.