Order Cancellation Rate

The Order Cancellation Rate measures the frequency with which limit orders are removed from the order book before they are filled. A high cancellation rate is often indicative of aggressive algorithmic trading, where participants constantly update their quotes to maintain a competitive position or to avoid adverse selection.

In crypto markets, this behavior is common among market makers who use cancellations to manage their exposure to volatility. However, excessive cancellation rates can also clutter the matching engine and lead to market inefficiencies.

Exchanges often monitor this metric to ensure the stability of their platforms and to prevent malicious behavior like quote stuffing. It is a vital indicator of the level of activity and competition within a specific order book.