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Futures Trading Quantitative Rules

2020-09-10 08:59
For a better trading environment and to prevent malicious trading activities, Binance Futures established the following quantitative rules.

1. Definitions

Trading Quantitative Rules refer to a set of rules that regulate normal trading based on quantitative indicators, which currently include the following:

Indicator

Definition

Calculation

Unfilled Ratio (UFR)
Unfilled quantity as a percentage of all orders quantity
UFR = 1- (Executed quantity of orders placed within previous 10 minutes / Total quantity of all orders placed within previous 10 minutes)
GTC Cancel Ratio (GCR)
Invalid canceled orders as a percentage of all GTC orders, where an invalid canceled order is an order placed for less than 2 seconds before it is canceled
Invalid Canceled Orders Count/GTC Orders Count
IOC & FOK Expire Ratio (IFER)
Expired IOC & FOK orders count as a percentage of all IOC & FOK orders
Expired IOC & FOK Orders Count/FOK & IOC Orders Count
Dust Ratio (DR)
Dust orders count as a percentage of all orders count, where a dust order is an order with value less than the threshold value, which varies according to different symbols ($50 for now)
Dust Orders Count/Orders Count
Ban Count (BC)
Ban count within 24 hours (*Rolling window)
Ban count within 24 hours (*Rolling window)

2. Recording and Ban Thresholds

VIP 9
Exempted from Quantitative Trading Rules
VIP 4 to 8
Please note that the current system is symbol specific. Within each 10-minute cycle, symbols with Order Counts above the Recording Threshold will trigger a second layer calculation (Ban Threshold calc) to determine if the symbols should be restricted. Symbols that violate the Ban Threshold will be restricted (please refer to the Restriction Section below).

Indicator

Recording Threshold (Per Symbol)

Ban Threshold (Per Symbol)

Unfilled Ratio (UFR)
All orders count within the cycle ≥ 10,000
UFR ≥ 0.99
GTC Cancel Ratio (GCR)
GTC orders count within the cycle ≥ 5,000
GCR ≥ 0.99
IOC & FOK Expire Ratio (IFER)
FOK & IOC orders count within the cycle ≥ 5,000
IFER ≥ 0.99
Dust Ratio (DR)
All orders count within the cycle ≥ 10,000
DR ≥ 0.9
Ban Count (BC)
Ban count within 24 hours (*Rolling window)
BC ≥ 10 (*Rolling window)
Regular User, VIP 1 to 3
Please note that the current system is symbol specific. Within each 10-minute cycle, symbols with Order Counts above the Recording Threshold will trigger a second layer calculation (Ban Threshold calc) to determine if the symbols should be restricted. Symbols that violate the Ban Threshold will be restricted (please refer to the Restriction Section below).
For Regular and VIP 1 to 3 users, we have included ‘N’ as a weight in the Threshold calculation, where “N” is the number of symbols with Open Orders in each 10-minute cycle.
  • Minimum value of N is 1
Indicator
Recording Threshold
Ban Threshold
Unfilled Ratio (UFR)
All orders count within the cycle ≥ 10,000/(1.2^(N-1))
UFR ≥ 0.99
GTC Cancel Ratio (GCR)
GTC orders count within the cycle ≥ 5,000/(1.2^(N-1))
GCR ≥ 0.99
IOC & FOK Expire Ratio (IFER)
FOK & IOC orders count within the cycle ≥ 5,000/(1.2^(N-1))
IFER ≥ 0.99
Dust Ratio (DR)
All orders count within the cycle ≥ 10,000/(1.2^(N-1))
DR ≥ 0.9
Ban Count (BC)
Ban count within 24 hours (*Rolling window)
BC ≥ 10 (*Rolling window)

3. Restrictions

LEVEL 1 RESTRICTIONS - Single Symbol Violation
Users who violate the Trading Quantitative Rules will be restricted from opening or increasing positions for 5 minutes on the symbols that violated the rules. The restriction will be lifted automatically after 5 minutes. Please note that these restrictions do not prevent users from placing reduce-only orders or from trading other symbols that did not violate the rules.
LEVEL 2 RESTRICTIONS - Repeated Violation
Users who violate the Trading Quantitative Rules 10 times on the same symbol within 24 hours will be restricted from opening or increasing positions for the next 2 hours on the violated symbol. The restrictions will be lifted automatically after 2 hours. Please note that these restrictions do not prevent users from placing reduce-only orders or from trading other symbols that did not violate the rules.
LEVEL 3 RESTRICTIONS - Account Violation
Users who have 10 (or more) symbols restricted at the same time will trigger an Account Level restriction. Users will be restricted from opening or increasing positions for ALL SYMBOLS for the next 2 hours. Users can only place Reduce Only orders during this period. The restrictions will be lifted automatically after 2 hours.
Example 1 - User violates Trading Quantitative Rules for BTCUSDT Perp
Users will be restricted from opening or increasing positions for 5 minutes on BTCUSDT. This restriction is only applicable for BTCUSDT and it will be lifted automatically after 5 minutes. Users will still be able to place Reduce Only orders for BTCUSDT as well as freely trade other symbols that did not violate the rules.
Example 2 - Repeated violations (≥ 10 times within 24 hours) for BTCUSDT Perp
If a user violates the rules 10 (or more) times for BTCUSDT, the user will be restricted from opening or increasing positions for the next 2 hours on BTCUSDT. The restrictions will be lifted automatically after 2 hours. The user can still place Reduce Only orders on BTCUSDT as well as freely trade other symbols that did not violate the rules.
Important Note
  • The aforementioned Trading Quantitative Rules have been in effect since 18 Feb 2022 00:00 UTC.
  • Applicable to USD-M Futures Contract only.
  • Live restriction status can be found via: /fapi/v1/apiTradingStatus.
  • All recording and ban checks are done at the end of each 10-minute cycle for each symbol.
  • Orders placed during earlier cycles but filled in the current cycle will not count towards Executed Quantity for this current cycle under the UFR rule.
    • For example, if a user places a Stop Order at 9:15 am which got executed later at 10:12am, this Market/Limit Order (derived from the Stop Order) will not count towards Executed Quantity under the UFR rule for the 10-minute cycle of 10:10 - 10:20am.

Frequently Asked Questions

1. What error message will the user receive upon violation of Quantitative Rule?
{
"code": -4400,
"msg": "Futures Trading Quantitative Rules violated, only reduce Only order is allowed, please try again later."
}
2. How do Binance Futures calculate N?
“N” is the number of symbols with open orders (regardless of when the order was placed) in each 10-minute cycle.
  • Minimum value of N is 1
3. Does it continue to count towards an Open Order if it gets filled/canceled within the cycle?
No, it does not. The definition of an Open Order is essentially any unfilled/partially filled working order.
4. What type of orders are used to calculate the Recording & Ban Threshold?
All orders successfully placed within the 10-minute cycle are used to calculate the Recording & Ban Threshold.
Please note that calculation is done on a per symbol basis.
5. Under UFR, if an order placed in the previous cycle gets filled. Does this count towards the current cycle UFR calculations?
Only orders that are placed and executed within the same cycle will count towards current cycle UFR calculations.
*UFR = 1- (Executed quantity of orders placed within the previous 10 minutes / Total quantity of all orders placed within the previous 10 minutes)
6. Are rejected orders and Reduce Only orders counted towards the calculation?
Rejected orders do not count towards the calculation, while Reduce Only orders are.
7. If a user has open orders for more than 50 symbols, does this mean that the user will always get banned?
This is not true. As long as all the indicators (UFR, GCR, IFER, DR) are within the threshold limit, the user can trade freely.
8. Does the 10-minute cycle begin once the user places the first order, or is there a fixed time window?
Each 10-minute cycle has a fixed time window, i.e., 00~10, 10~20, 20~30, 30~40, 40~50, 50~00.
9. Will users be banned immediately once they violate the Ban Threshold?
Users violating the Ban Threshold will be banned immediately or relatively close to the end of the 10-minute cycle. The duration between the violation and the ban is not guaranteed.