Filters
Filters define trading rules on a symbol or an exchange.
Filters come in two forms: symbol filters
and exchange filters
.
Symbol filters
PRICE_FILTER
The PRICE_FILTER
defines the price
rules for a symbol. There are 3 parts:
minPrice
defines the minimumprice
/stopPrice
allowed; disabled onminPrice
== 0.maxPrice
defines the maximumprice
/stopPrice
allowed; disabled onmaxPrice
== 0.tickSize
defines the intervals that aprice
/stopPrice
can be increased/decreased by; disabled ontickSize
== 0.
Any of the above variables can be set to 0, which disables that rule in the price filter
. In order to pass the price filter
, the following must be true for price
/stopPrice
of the enabled rules:
price
>=minPrice
price
<=maxPrice
price
%tickSize
== 0
/exchangeInfo format:
{
"filterType": "PRICE_FILTER",
"minPrice": "0.00000100",
"maxPrice": "100000.00000000",
"tickSize": "0.00000100"
}
PERCENT_PRICE
The PERCENT_PRICE
filter defines the valid range for the price based on the average of the previous trades.
avgPriceMins
is the number of minutes the average price is calculated over. 0 means the last price is used.
In order to pass the percent price
, the following must be true for price
:
price
<=weightedAveragePrice
*multiplierUp
price
>=weightedAveragePrice
*multiplierDown
/exchangeInfo format:
{
"filterType": "PERCENT_PRICE",
"multiplierUp": "1.3000",
"multiplierDown": "0.7000",
"avgPriceMins": 5
}
PERCENT_PRICE_BY_SIDE
The PERCENT_PRICE_BY_SIDE
filter defines the valid range for the price based on the average of the previous trades.
avgPriceMins
is the number of minutes the average price is calculated over. 0 means the last price is used.
There is a different range depending on whether the order is placed on the BUY
side or the SELL
side.
Buy orders will succeed on this filter if:
Order price
<=weightedAveragePrice
*bidMultiplierUp
Order price
>=weightedAveragePrice
*bidMultiplierDown
Sell orders will succeed on this filter if:
Order Price
<=weightedAveragePrice
*askMultiplierUp
Order Price
>=weightedAveragePrice
*askMultiplierDown
/exchangeInfo format:
{
"filterType": "PERCENT_PRICE_BY_SIDE",
"bidMultiplierUp": "1.2",
"bidMultiplierDown": "0.2",
"askMultiplierUp": "5",
"askMultiplierDown": "0.8",
"avgPriceMins": 1
}
LOT_SIZE
The LOT_SIZE
filter defines the quantity
(aka "lots" in auction terms) rules for a symbol. There are 3 parts:
minQty
defines the minimumquantity
/icebergQty
allowed.maxQty
defines the maximumquantity
/icebergQty
allowed.stepSize
defines the intervals that aquantity
/icebergQty
can be increased/decreased by.
In order to pass the lot size
, the following must be true for quantity
/icebergQty
:
quantity
>=minQty
quantity
<=maxQty
quantity
%stepSize
== 0
/exchangeInfo format:
{
"filterType": "LOT_SIZE",
"minQty": "0.00100000",
"maxQty": "100000.00000000",
"stepSize": "0.00100000"
}
MIN_NOTIONAL
The MIN_NOTIONAL
filter defines the minimum notional value allowed for an order on a symbol.
An order's notional value is the price
* quantity
.
applyToMarket
determines whether or not the MIN_NOTIONAL
filter will also be applied to MARKET
orders.
Since MARKET
orders have no price, the average price is used over the last avgPriceMins
minutes.
avgPriceMins
is the number of minutes the average price is calculated over. 0 means the last price is used.
/exchangeInfo format:
{
"filterType": "MIN_NOTIONAL",
"minNotional": "0.00100000",
"applyToMarket": true,
"avgPriceMins": 5
}
NOTIONAL
The NOTIONAL
filter defines the acceptable notional range allowed for an order on a symbol.
applyMinToMarket
determines whether the minNotional
will be applied to MARKET
orders.
applyMaxToMarket
determines whether the maxNotional
will be applied to MARKET
orders.
In order to pass this filter, the notional (price * quantity
) has to pass the following conditions:
price * quantity
<=maxNotional
price * quantity
>=minNotional
For MARKET
orders, the average price used over the last avgPriceMins
minutes will be used for calculation.
If the avgPriceMins
is 0, then the last price will be used.
/exchangeInfo format:
{
"filterType": "NOTIONAL",
"minNotional": "10.00000000",
"applyMinToMarket": false,
"maxNotional": "10000.00000000",
"applyMaxToMarket": false,
"avgPriceMins": 5
}
ICEBERG_PARTS
The ICEBERG_PARTS
filter defines the maximum parts an iceberg order can have. The number of ICEBERG_PARTS
is defined as CEIL(qty / icebergQty)
.
/exchangeInfo format:
{
"filterType": "ICEBERG_PARTS",
"limit": 10
}
MARKET_LOT_SIZE
The MARKET_LOT_SIZE
filter defines the quantity
(aka "lots" in auction terms) rules for MARKET
orders on a symbol. There are 3 parts:
minQty
defines the minimumquantity
allowed.maxQty
defines the maximumquantity
allowed.stepSize
defines the intervals that aquantity
can be increased/decreased by.
In order to pass the market lot size
, the following must be true for quantity
:
quantity
>=minQty
quantity
<=maxQty
quantity
%stepSize
== 0
/exchangeInfo format:
{
"filterType": "MARKET_LOT_SIZE",
"minQty": "0.00100000",
"maxQty": "100000.00000000",
"stepSize": "0.00100000"
}
MAX_NUM_ORDERS
The MAX_NUM_ORDERS
filter defines the maximum number of orders an account is allowed to have open on a symbol.
Note that both "algo" orders and normal orders are counted for this filter.
/exchangeInfo format:
{
"filterType": "MAX_NUM_ORDERS",
"maxNumOrders": 25
}
MAX_NUM_ALGO_ORDERS
The MAX_NUM_ALGO_ORDERS
filter defines the maximum number of "algo" orders an account is allowed to have open on a symbol.
"Algo" orders are STOP_LOSS
, STOP_LOSS_LIMIT
, TAKE_PROFIT
, and TAKE_PROFIT_LIMIT
orders.
/exchangeInfo format:
{
"filterType": "MAX_NUM_ALGO_ORDERS",
"maxNumAlgoOrders": 5
}
MAX_NUM_ICEBERG_ORDERS
The MAX_NUM_ICEBERG_ORDERS
filter defines the maximum number of ICEBERG
orders an account is allowed to have open on a symbol.
An ICEBERG
order is any order where the icebergQty
is > 0.
/exchangeInfo format:
{
"filterType": "MAX_NUM_ICEBERG_ORDERS",
"maxNumIcebergOrders": 5
}
MAX_POSITION
The MAX_POSITION
filter defines the allowed maximum position an account can have on the base asset of a symbol. An account's position defined as the sum of the account's:
- free balance of the base asset
- locked balance of the base asset
- sum of the qty of all open BUY orders
BUY
orders will be rejected if the account's position is greater than the maximum position allowed.
If an order's quantity
can cause the position to overflow, this will also fail the MAX_POSITION
filter.
/exchangeInfo format:
{
"filterType":"MAX_POSITION",
"maxPosition":"10.00000000"
}
TRAILING_DELTA
The TRAILING_DELTA
filter defines the minimum and maximum value for the parameter trailingDelta
.
In order for a trailing stop order to pass this filter, the following must be true:
For STOP_LOSS BUY
, STOP_LOSS_LIMIT_BUY
,TAKE_PROFIT SELL
and TAKE_PROFIT_LIMIT SELL
orders:
trailingDelta
>=minTrailingAboveDelta
trailingDelta
<=maxTrailingAboveDelta
For STOP_LOSS SELL
, STOP_LOSS_LIMIT SELL
, TAKE_PROFIT BUY
, and TAKE_PROFIT_LIMIT BUY
orders:
trailingDelta
>=minTrailingBelowDelta
trailingDelta
<=maxTrailingBelowDelta
/exchangeInfo format:
{
"filterType": "TRAILING_DELTA",
"minTrailingAboveDelta": 10,
"maxTrailingAboveDelta": 2000,
"minTrailingBelowDelta": 10,
"maxTrailingBelowDelta": 2000
}
Exchange Filters
EXCHANGE_MAX_NUM_ORDERS
The EXCHANGE_MAX_NUM_ORDERS
filter defines the maximum number of orders an account is allowed to have open on the exchange.
Note that both "algo" orders and normal orders are counted for this filter.
/exchangeInfo format:
{
"filterType": "EXCHANGE_MAX_NUM_ORDERS",
"maxNumOrders": 1000
}
EXCHANGE_MAX_NUM_ALGO_ORDERS
The EXCHANGE_MAX_NUM_ALGO_ORDERS
filter defines the maximum number of "algo" orders an account is allowed to have open on the exchange.
"Algo" orders are STOP_LOSS
, STOP_LOSS_LIMIT
, TAKE_PROFIT
, and TAKE_PROFIT_LIMIT
orders.
/exchangeInfo format:
{
"filterType": "EXCHANGE_MAX_NUM_ALGO_ORDERS",
"maxNumAlgoOrders": 200
}
EXCHANGE_MAX_NUM_ICEBERG_ORDERS
The EXCHANGE_MAX_NUM_ICEBERG_ORDERS
filter defines the maximum number of iceberg orders an account is allowed to have open on the exchange.
/exchangeInfo format:
{
"filterType": "EXCHANGE_MAX_NUM_ICEBERG_ORDERS",
"maxNumIcebergOrders": 10000
}