The cancel race: deleting an order that is already filling

[Amanhasnoname]

A limit order that price is approaching feels easy to cancel if conditions change. But a cancel request takes time to travel and be processed, and during that window the order may fill. The result is a position the trader thought was avoided.

The race is most dangerous in fast markets, where the delay between deciding and acting is the difference between a cancel and a fill. News and impulsive spikes are classic cases.

After sending a cancel, do not assume it worked. Check the order list and position list. If the order filled, the response should be immediate: either close the position or manage it as planned.

In code, treat the cancel as a request with an uncertain outcome. Handle both results: confirmed cancelled and already filled. Many EAs only handle the first.

An additional risk is partial fills. A cancel may succeed for the remaining size while part of the order has already filled, leaving an unexpected small position.

How does the system verify the result of a cancel request?