Lead Market Maker (LMM) Matching Algorithm

Lead Market Maker (LMM) is a designation given to CME Group authorized market makers. The LMM status provides special consideration in order matching.

An LMM order at the same price level as the top order will receive the LMM match percentage allocation before the top order allocation. LMM matching rules apply first and top order matching rules apply thereafter. An LMM order can also be a top order.

A top order that belongs to an LMM will be matched first and will not be included in the following calculations:

If the LMM has a single order at an elected price level it will match N% of the remaining incoming order quantity, with N equal to the LMM's allocation percentage. However, the matched quantity will not exceed the LMM's order quantity.
If the LMM has multiple orders at an elected price level, then the LMM quantity is aggregated and will match N% of the remaining incoming order quantity. Multiple LMM orders are matched on Time Priority basis until N% quantity allocation is fulfilled.

All remaining resting orders at an elected price level (including LMM orders) are matched according to FIFO rules.

If the LMM has a single order at an elected price level it will match N% of the remaining incoming order quantity, with N equal to the LMM's allocation percentage. However, the matched quantity will not exceed the LMM order quantity. If the LMM has multiple orders at an elected price level, then the LMM quantity is aggregated and will match N% of the remaining incoming order quantity. Multiple LMM orders are matched on Time Priority basis until N% quantity allocation is fulfilled. All remaining resting orders at an elected price level (including LMM orders) are matched according to FIFO rules.

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