Cancellation Latency: The Good, the Bad, and the Ugly

Financial Management, Forthcoming

55 Pages Posted: 6 Feb 2013 Last revised: 28 Aug 2016

See all articles by Pawan Jain

Pawan Jain

West Virginia University

Steven J. Jordan

Econometric Solutions

Date Written: August 1, 2016


This paper provides several statistics concerning cancellation latency that would be helpful to regulators as they consider policies to establish a minimal quote life. We find that cancellation latency is related to market quality and is not constant. Rather, it varies depending upon the time of day, order price and size, market congestion, trader type, firm size, order imbalance, and technology used for submitting an order.

Keywords: cancellation, latency, high frequency trading, HFT, quote stuffing, market regulation, volume, risk, latency arbitrage, microstructure

JEL Classification: F00, G00, G14, G15, G18, G19, K2, K33, L11, L51, L98, N25

Suggested Citation

Jain, Pawan and Jordan, Steven J., Cancellation Latency: The Good, the Bad, and the Ugly (August 1, 2016). Financial Management, Forthcoming, Available at SSRN: or

Pawan Jain

West Virginia University ( email )

PO Box 6025
Morgantown, WV 26506
United States

Steven J. Jordan (Contact Author)

Econometric Solutions ( email )

3520 Fossil Park Dr.
Fort Worth, TX NA 76137
United States

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