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Electronic instabilities drive ordering transitions in condensed matter. Despite many advances in the microscopic understanding of the ordered states, a more nuanced and profound question often remains unanswered: how do the collective excitations influence the electronic order formation? Here, we experimentally show that a phonon affects the spin density wave (SDW) formation after an SDW-quench by femtosecond laser pulses. In a thin film, the temperature-dependent SDW period is quantized, allowing us to track the out-of-equilibrium formation path of the SDW precisely. By exploiting its persistent coupling to the lattice, we probe the SDW through the transient lattice distortion, measured by femtosecond X-ray diffraction. We find that within 500 femtoseconds after a complete quench, the SDW forms with the low-temperature period, directly bypassing a thermal state with the high-temperature period. We argue that a momentum-matched phonon launched by the quench changes the formation path of the SDW through the dynamic pinning of the order parameter.