Traffic classification has recently gained much attention in both academic and industrial research communities. Many machine learning methods have been proposed to tackle this problem and have shown good results. However, when applied to traffic with out-of-sequence packets, the accuracy of existing machine learning approaches decreases dramatically. We observe the main reason is that the out-of-sequence packets change the spatial representation of feature vectors, which means the property of linear mapping relation among features used in machine learning approaches cannot hold any more. To address this problem, this paper proposes an Improved Dynamic Time Warping (IDTW) method, which can align two feature vectors using non-linear alignment. Experimental results on two real traces show that IDTW achieves better classification accuracy in out-of-sequence traffic classification, in comparison to existing machine learning approaches.