CancelOrder for Market order. Is it effective?

[DaveE]

I am testing an Unmanaged strategy that may 'change its mind' about market direction between submitting a Market order and it being filled. But I find that CancelOrder (at least on IB) seems to be ineffective on Market orders.
Example sequence experienced:

• Market Buy submitted ie entryOrder=SubmitOrder(0,OrderAction.Buy,OrderType .Market...);
• One second later OrderState is PendingSubmit.
• After a further 3 seconds CancelOrder(entryOrder) is used (on entryOrder which is still PendingSubmit).
• "Cancelled custom managed order" message logged.
• After another 4 seconds OrderState is Accepted.
• After another 1 second OrderState is Filled.

So the CancelOrder() has effectively been ignored.

CancelOrder() works fine on other orders (such as Limit).
But can anyone tell me if they have been able to use CancelOrder on Market order on IB (and have it actually prevent the fill)?

[NinjaTrader_PatrickH]

Hello DaveE,

Thank you for your post.

Unfortunately, this would not be possible in the majority of the markets actively traded. It may be possible in very lightly traded or small volatility instruments, but in general it is not something that is possible.

Please let me know if I maybe of further assistance.