<i>So you have a very vested interest in being the first to cancel and move your order to the newest price level.</i><p>ISTM this would only work in one direction? That is, if you&#x27;re moving closer to the other side, you can just put in a new order. Cancelling the old one isn&#x27;t such a priority because no one would pass up the more enticing new price to get to the old price. If they did, free money for you!<p>If this phenomenon isn&#x27;t clear from the data, that would argue against the hypothesis that maker-taker accounts for the cancellations.<p>IANAHFTrader.