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Filtros DM

The document outlines various filters that define trading rules for symbols and exchanges, including price, quantity, and order limits. Key filters include PRICE_FILTER, LOT_SIZE, MIN_NOTIONAL, and MAX_POSITION, each with specific parameters that must be met for orders to be valid. Additionally, it details exchange-level filters such as EXCHANGE_MAX_NUM_ORDERS and EXCHANGE_MAX_NUM_ALGO_ORDERS, which govern the maximum number of orders allowed on an exchange.

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Angel Daniel Naigua
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6 views11 pages

Filtros DM

The document outlines various filters that define trading rules for symbols and exchanges, including price, quantity, and order limits. Key filters include PRICE_FILTER, LOT_SIZE, MIN_NOTIONAL, and MAX_POSITION, each with specific parameters that must be met for orders to be valid. Additionally, it details exchange-level filters such as EXCHANGE_MAX_NUM_ORDERS and EXCHANGE_MAX_NUM_ALGO_ORDERS, which govern the maximum number of orders allowed on an exchange.

Uploaded by

Angel Daniel Naigua
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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# 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 minimum `price`/`stopPrice` allowed; disabled on `minPrice` == 0.

* `maxPrice` defines the maximum `price`/`stopPrice` allowed; disabled on `maxPrice` == 0.

* `tickSize` defines the intervals that a `price`/`stopPrice` can be increased/decreased by;


disabled on `tickSize` == 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:**

```javascript

"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:**

```javascript

"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.<br/>

`avgPriceMins` is the number of minutes the average price is calculated over. 0 means the last
price is used. <br/>

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:**

```javascript

"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 minimum `quantity`/`icebergQty` allowed.

* `maxQty` defines the maximum `quantity`/`icebergQty` allowed.

* `stepSize` defines the intervals that a `quantity`/`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:**

```javascript
{

"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:**

```javascript

"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.
<br/><br/>
`applyMinToMarket` determines whether the `minNotional` will be applied to `MARKET`
orders. <br/>

`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. <br/>

If the `avgPriceMins` is 0, then the last price will be used.

**/exchangeInfo format:**

```javascript

"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:**

```javascript
{

"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 minimum `quantity` allowed.

* `maxQty` defines the maximum `quantity` allowed.

* `stepSize` defines the intervals that a `quantity` 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:**

```javascript

"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:**

```javascript

"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:**

```javascript

"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:**
```javascript

"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:

1. free balance of the base asset

1. locked balance of the base asset

1. 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:**

```javascript

"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:**

```javascript

"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:**

```javascript

"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:**

```javascript

"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:**
```javascript

"filterType": "EXCHANGE_MAX_NUM_ICEBERG_ORDERS",

"maxNumIcebergOrders": 10000

```

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