Priority matching for maker orders exhibiting delayed cancelation

A system of processing maker orders including cancel delay values for execution on an Electronic Trading Venue (ETV), the system comprising:

• a computer system comprising one or more physical processors programmed with computer program instructions that, when executed by the one or more physical processors, program the computer system to:
• receive a plurality of messages from market participants, the plurality of messages including a first maker order from a first market participant comprising an order to buy or sell an instrument at a price level and a first cancel delay value specifying a first amount of time selected by the first market participant that must pass after the receipt of the first message by the computer system before the first maker order can be cancelled by the first market participant and a second maker order from a second market participant comprising an order to buy or sell the instrument at the price level and a second cancel delay value specifying a second amount of time selected by the second market participant that must pass after the receipt of the second message by the computer system before the second maker order can be cancelled by the second market participant, the second cancel delay value being greater than the first cancel delay value;
• add a timestamp to individual messages of the plurality of messages indicating a time of receipt of the individual messages by the ETV, including adding a first timestamp to the first maker order and a second timestamp to the second maker order, the first timestamp being before the second timestamp;
• analyze the payload of the individual messages of the plurality of messages and classifying, based on their payload, the individual messages as a maker order, a taker order, or a cancel request message, including classifying the first maker order as a maker order and the second maker order as a maker order;
• add the maker orders, including the first maker order and the second maker order, to a maker order queue,
• order the maker order queue by the time of receipt by the ETV of the maker orders, such that the first maker order is ordered before the second maker order;
• obtain, from the taker order queue, a taker order for the instrument at the price level;
• prioritize the second maker order ahead of the first maker order based on a determination that the second cancel delay value is greater than the first cancel delay value;
• select, in response to the prioritizing of the second maker order ahead of the first maker order, the second maker order to be matched with the taker order for execution despite the ordering of the first and second maker orders in the maker order queue.

A computer-implemented method of processing maker orders including cancel delay values for execution on an Electronic Trading Venue (ETV), the method comprising:

• receiving, by the computer system, a plurality of messages from market participants, the plurality of messages including a first maker order from a first market participant comprising an order to buy or sell an instrument at a price level and a second maker order from a second market participant comprising an order to buy or sell the instrument at the price level;
• adding, by the computer system, a timestamp to individual messages of the plurality of messages indicating a time of receipt of the individual messages by the ETV, including adding a first timestamp to the first maker order and a second timestamp to the second maker order, the first timestamp being before the second timestamp;
• analyzing, by the computer system, the payload of the individual messages of the plurality of messages and classifying, based on their payload, the individual messages as a maker order, a taker order, or a cancel request message, including classifying the first maker order as a maker order and the second maker order as a maker order;
• adding, by the computer system, the maker orders, including the first maker order and the second maker order, to a maker order queue,
• ordering, by the computer system, the maker order queue by the time of receipt by the ETV of the maker orders, such that the first maker order is ordered before the second maker order;
• determining, by the computer system, that the first maker order is associated with a first cancel delay value specifying a first amount of time that must pass after the receipt of the first message by the computer system before the first maker order can be cancelled by the first market participant and that the second maker order is associated with a second cancel delay value specifying a second amount of time that must pass after the receipt of the second message by the computer system before the second maker order can be cancelled by the second market participant, the second cancel delay value being greater than the first cancel delay value;
• obtaining, by the computer system from the taker order queue, a taker order for the instrument at the price level;
• prioritizing, by the computer system, the second maker order ahead of the first maker order based on a determination that the second cancel delay value is greater than the first cancel delay value;
• selecting, by the computer system and in response to the prioritizing of the second maker order ahead of the first maker order, the second maker order to be matched with the taker order for execution despite the ordering of the first and second maker orders in the maker order queue.

A system of processing maker orders including cancel delay values for execution on an Electronic Trading Venue (ETV), the system comprising:

• a computer system comprising one or more physical processors programmed with computer program instructions that, when executed by the one or more physical processors, program the computer system to:
• receive a plurality of messages from market participants, the plurality of messages including a first maker order from a first market participant comprising an order to buy or sell an instrument at a price level and a second maker order from a second market participant comprising an order to buy or sell the instrument at the price level;
• add a timestamp to individual messages of the plurality of messages indicating a time of receipt of the individual messages by the ETV, including adding a first timestamp to the first maker order and a second timestamp to the second maker order, the first timestamp being before the second timestamp;
• analyze the payload of the individual messages of the plurality of messages and classifying, based on their payload, the individual messages as a maker order, a taker order, or a cancel request message, including classifying the first maker order as a maker order and the second maker order as a maker order;
• add the maker orders, including the first maker order and the second maker order, to a maker order queue,
• order the maker order queue by the time of receipt by the ETV of the maker orders, such that the first maker order is ordered before the second maker order;
• determine that the first maker order is associated with a first cancel delay value specifying a first amount of time that must pass after the receipt of the first message by the computer system before the first maker order can be cancelled by the first market participant and that the second maker order is associated with a second cancel delay value specifying a second amount of time that must pass after the receipt of the second message by the computer system before the second maker order can be cancelled by the second market participant, the second cancel delay value being greater than the first cancel delay value;
• obtain, from the taker order queue, a taker order for the instrument at the price level;
• prioritize the second maker order ahead of the first maker order based on a determination that the second cancel delay value is greater than the first cancel delay value;
• select, in response to the prioritizing of the second maker order ahead of the first maker order, the second maker order to be matched with the taker order for execution despite the ordering of the first and second maker orders in the maker order queue.