Message Throttles and Rate Limits

An exchange's matching engine can only process so many order-related messages — new orders, cancels, modifies — per second before it risks queueing delays or instability, and a single misbehaving algorithm sending thousands of messages a second could degrade service for everyone else on the venue. Message throttles and rate limits are caps, enforced by the exchange or by a firm's own gateway software, on how many messages a given trading session can submit in a fixed time window (for example, no more than 100 messages per 10 milliseconds). If a firm exceeds the limit, the exchange typically queues, delays, or outright rejects the excess messages, and repeated or severe violations can trigger fines or a forced disconnect.

These limits interact directly with a firm's order-to-trade ratio (how many messages it sends per trade actually executed): a market-making strategy that constantly re-quotes on every tick can bump against the throttle long before it runs out of genuinely useful signal, forcing it to batch updates or reduce quoting frequency. Firms design their order management systems around known throttle limits, prioritizing which messages (say, a risk-reducing cancel) get sent first when close to the cap.