Kraken Futures: Cancelled Limit Orders May Still Execute

Kraken Futures Cancellation Nuance

Kraken futures traders should be aware that a successful cancellation of a limit order does not guarantee it won't execute. If a cancel request arrives during the Maker Protection hold window, the order can still be filled. Kraken expanded this system on October 8th, adding it to 61 additional perpetual contracts.

Maker Protection Explained

Maker Protection is designed to protect liquidity providers. It temporarily holds orders that could take liquidity *before* they reach the matching engine, giving resting order traders time to react. A non-post-only limit order on a covered market is held even if it would normally rest on the order book.

How Cancellations Are Handled

When a trader cancels a held limit order within this window, Kraken converts it to an immediate-or-cancel (IOC) order. This means the order can trade when released, but any unfilled portion is discarded. The exchange reports these events separately: a 'cancelled' status for the cancellation request, and a separate report detailing any fills or failures to execute. If the converted limit order cannot trade, the API response will be 'iocWouldNotExecute'.

Key Considerations for Automated Trading

Kraken's documentation indicates a typical initial hold of 20 milliseconds. Traders using automated systems must reconcile both the order execution response *and* the cancellation acknowledgment, as a successful cancellation can coexist with a later fill. The ten most liquid linear perpetual markets, as well as spot trading, are unaffected. Post-only orders bypass the hold entirely.

Source: CryptoSlate