Some Kraken futures limit orders can still fill after a successful cancel

Some Kraken futures limit orders can still execute after a successful cancellation if the cancel arrives throughout the Maker Protection maintain window. Kraken expanded the system on Oct. 8, bringing that order-handling rule to extra contracts.

Kraken accomplished Phase 2 after asserting 61 further perpetual contracts. Maker Protection applies to chose futures markets; Kraken’s documentation describes an preliminary 20-millisecond maintain.

What a Kraken futures cancellation adjustments

Maker Protection holds orders that can take liquidity earlier than they attain the matching engine, giving merchants with resting orders time to react. A limit order with out a post-only instruction is held on a lined market even when it could in any other case have rested on the guide.

A cancel inside that window adjustments what the order could depart behind. Kraken converts the held placement to immediate-or-cancel, that means it can commerce when launched however can not depart an unfilled the rest on the guide. The authentic maintain expiry stays the identical.

For instance, a dealer submits a non-post-only limit order and cancels earlier than the maintain expires. The cancel request bypasses the delay and converts the held placement to immediate-or-cancel. At the unique launch time it can still 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 limit that can’t commerce, the REST v3 response is iocWouldNotExecute.

Kraken’s instruments feed identifies every market’s configured maintain by means of makerProtectionMillis. Its documentation says an absent or zero worth means no configured delay.

The distinction is contract-specific, so merchants can not infer protection from the coin identify 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 limit placement still waits for its authentic launch time.

Other held order sorts 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 still reaches matching when launched.

Automated merchants in Kraken futures must reconcile the order’s execution response in addition to the cancellation acknowledgment. A successful held-limit cancel can coexist with a later fill.

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