By the way, this is an awful, awful idea that you hear quite a lot. Think about what would happen. What incentive would a participant have for placing an order early in the one minute interval? If you can't cancel it, you're a sitting duck. And if you can't be executed now, why insert the order now? By doing so, you show your hand. You'd end up with a rolling one minute e-bay auction where everyone tries to insert at the last possible microsecond.