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For example I am put a limit order of size 10 at top bid. moments later, my algorithm detects we should have size of 50 here. So we request a update on this order.

My question is, will we lose the current queue position due to this update?

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Yes. Increasing the size of an order is like cancelling and reinserting it. You lose queue priority and insert behind the other orders.

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    $\begingroup$ It depends on exactly which market we're talking about. But in general with price/time priority markets this is true. $\endgroup$ Commented Feb 12, 2014 at 22:43
  • $\begingroup$ @LouisMarascio, I wonder, is there any exchange that allows to keep the queue in this case? $\endgroup$
    – Serg
    Commented Feb 13, 2014 at 12:50
  • $\begingroup$ What if my update action is actually to reduce the quantity? $\endgroup$
    – cynric
    Commented Feb 14, 2014 at 19:54
  • $\begingroup$ You do not lose queue priority then. But check for the exchange and market you are interested in. This might differ from exchange to exchange and from market to market. $\endgroup$
    – Konsta
    Commented Feb 15, 2014 at 21:03

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