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Futures API Trading Quantitative Rules

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

1. Definitions

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




Unfilled Ratio (UFR)
Unfilled value as a percentage of all orders value
1-(Filled Value/Orders Value)
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 ($10 for now)
Dust Orders Count/Orders Count
Ban Count (BC)
Ban count within 24 hours
Ban count within 24 hours

2. Recording and Ban Thresholds

The current system uses a retrospective calculation of the 10-minute cycle indicator and only bans the one with specific orders count above a certain threshold, as follows:


Recording Threshold

Ban Threshold

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
Ban Count (BC)
Ban count within 24 hours >=10

3. Restrictions

For users who violate the quantitative rules, they will be restricted from opening or increasing positions on the symbols which they violate the rules, and the short-term ban time is 5 minutes, which will recover automatically upon expiration; if they violate the quantitative rules 10 times in a row within 2 hours, they will be banned for 2 hours and recover automatically upon expiration; their trading on reduce-only orders or other symbols that do not violate the rules will not be affected.
For example, if a user violates the UFR rules of BTCUSDT Perpetual Contract, he can't open or increase position in BTCUSDT Perpetual Contract within 5 minutes, but he can put reduce-only orders (orders to reduce his position); meanwhile, his trading in other products, such as ETHUSDT Perpetual Contract, will not be affected if he doesn't violate any rules; if he violates any rules in BTCUSDT Perpetual Contract for 10 times in 2 hours, his opening orders in BTCUSDT Perpetual Contract will be restricted for the following 2 hours.
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