Priority matching for maker orders exhibiting delayed cancelation

Abstract

An electronic trading venue (ETV) may prioritize maker orders that specify or are associated with cancel delay values by selecting a maker order to be matched with taker orders before competing maker orders, at the same price level for a given instrument, that have smaller or no cancel delay values. Such prioritization may occur even if the competing maker orders were received before the maker order. A cancel delay value indicates an amount of time that must pass after a request to cancel a maker order is received before the ETV actually cancels the maker order. Thus, in exchange for prioritization, maker orders will be subject to a cancelation delay that starts after a cancel request is received and during which a maker order will not be canceled. Takers may benefit from this by being able to match with a maker order before it can be canceled.