You don't have to be that heavy handed about it. One simple check is to see if your new order is basically the same as the last order you just canceled (same pr

You don't have to be that heavy handed about it. One simple check is to see if your new order is basically the same as the last order you just canceled (same price and side of the market). If it is, and it has been less than some delta, don't send the new order. I think this sort of duplicate detection is relatively common among HFTs but I could be wrong.