Does the order of the columns in the sorting key affect performance?
The short answer: Yes, a lot.
You can have very different results by simply changing the order of the columns in your sorting keys.
The rule of thumb is: sort the columns from smallest cardinality to largest.
For example, if the column 'type' may have 100 different values, the column 'color' could have 50 values and 'user_id' 1M different values, try:
ENGINE_SORTING_KEY color, type, user_id