Define the venue and allocation rule
Use a fictional FIFO venue: at one price, the earlier instruction receives execution first. Our limit purchase rests at 100, fifty units are already ahead and our quantity is twenty. All numbers are teaching data.
Assume no cancellations, hidden quantity, priority changes or new orders ahead. These are model conditions, not universal market properties. CME describes several algorithms, including FIFO and proportional allocation.
The first incoming quantity does not reach us
An aggressive sale of thirty units at our price first consumes the queue ahead. Fifty becomes twenty. Our fill is zero and our remaining quantity stays twenty. Trades have occurred at the price without our purchase being executed.
Incoming aggressive quantity means the flow against this particular queue, not a candle’s total volume. We assume all thirty units actually match this price and side.
| Event | Incoming quantity | Ahead afterwards | Our fill in event | Our remainder |
|---|---|---|---|---|
| Order rests | — | 50 | 0 | 20 |
| First flow | 30 | 20 | 0 | 20 |
| Second flow | 30 | 0 | 10 | 10 |
The next quantity fills only part of our instruction
The next thirty consume the remaining twenty ahead first. Ten units of incoming flow remain, filling ten of ours. Nothing is now ahead; our order is half filled with ten left. It is not completely executed.
Conservation checks: total incoming sixty equals fifty previously ahead plus ten of ours filled. Our original twenty equals ten filled plus ten remaining. Do not allocate all sixty to us.
| Observation | Supported conclusion |
|---|---|
| Price touches 100 | The price was observed; our fill remains unproven |
| First flow 30 | Our fill 0; twenty ahead |
| Two flows, total 60 | Ten of ours filled, ten remaining only under the stated FIFO assumptions |
What a candle leaves out
A bar high or low does not show time priority, individual events or a specific order’s status. Total volume may include other prices and trades before our instruction existed. Other venues use other rules; cancellation or modification can affect priority.
This concerns waiting at one price. The liquidity article asks a different question: how an immediate purchase consumes several ask levels. A depth-weighted average does not establish a queue fill.
Establish status before assigning a result
Keep price, arrival time, assumed quantity ahead, incoming events and remainder in the teaching journal. Actual execution needs intermediary confirmations and suitable data. Do not invent a trade from a touch. Student Wyckoff studies charts rather than certifying broker fills.
- Separate a price touch from your execution.
- Do not replace opposing flow with total bar volume.
- Record partial fills and remaining quantity separately.
Primary sources
Sources explain the mechanics and limitations; the editorial examples use invented numbers rather than market quotations.
Your next practical step
Student Wyckoff Pro helps you study closed bars and save your analysis. It does not execute trades; access and the Windows connection are explained in the guide.
Open the first-chart instructions ↗