some limit orders can fill after cancel
Some Kraken futures restrict orders can nonetheless execute after a profitable cancellation if the cancel arrives in the course of the Maker Safety maintain window. Kraken expanded the system on Oct. 8, bringing that order-handling rule to extra contracts.
Kraken accomplished Section 2 after asserting 61 extra perpetual contracts. Maker Safety applies to chose futures markets; Kraken’s documentation describes an preliminary 20-millisecond maintain.
What a Kraken futures cancellation modifications
Maker Protection holds orders that can take liquidity earlier than they attain the matching engine, giving merchants with resting orders time to react. A restrict order and not using a post-only instruction is held on a coated market even when it will in any other case have rested on the e book.
A cancel inside that window modifications what the order could depart behind. Kraken converts the held placement to immediate-or-cancel, which means it could possibly commerce when launched however can not depart an unfilled the rest on the e book. The unique maintain expiry stays the identical.
For instance, a dealer submits a non-post-only restrict order and cancels earlier than the maintain expires. The cancel request bypasses the delay and converts the held placement to immediate-or-cancel. On the unique launch time it could possibly nonetheless fill; any unfilled quantity is discarded.
Kraken studies these directions individually. The cancel receives success with order standing “cancelled,” whereas the order later studies its personal fills or failure to execute. For a transformed restrict that can’t commerce, the REST v3 response is iocWouldNotExecute.
Kraken’s instruments feed identifies every market’s configured maintain via makerProtectionMillis. Its documentation says an absent or zero worth means no configured delay.
The excellence is contract-specific, so merchants can not infer protection from the coin title alone. Kraken says its ten most liquid linear perpetual markets are excluded and spot buying and selling is unaffected. Standalone post-only placements bypass the maintain. Cancel requests additionally bypass it; a held restrict placement nonetheless waits for its unique launch time.
Different held order varieties have completely different cancel responses. A cancel concentrating on a held immediate-or-cancel, fill-or-kill or market placement returns ORDER_NOT_FOUND; the unique request nonetheless reaches matching when launched.
Automated merchants in Kraken futures have to reconcile the order’s execution response in addition to the cancellation acknowledgment. A profitable held-limit cancel can coexist with a later fill.
