Quantitative Rules
Frequently Asked Questions
Quantitative Rules
Last updated: 26 Aug 2024
To provide users with a better trading environment and prevent malicious trading activities, Binance Futures has established the following quantitative rules.
1. Definitions
Quantitative Rules refer to a set of rules that regulate general trading based on the quantitative indicators listed below:
Indicator | Definition | Calculation |
Unfilled Ratio (UFR) | Unfilled orders as a percentage of all orders. | UFR = 1- (Executed base asset quantity of orders placed in the past 10 minutes / Total base asset quantity of all orders placed in the past 10 minutes) |
Invalid Cancellation Ratio (ICR) | Invalid canceled orders as a percentage of all Good-Till-Canceled (GTC) / Good-Till-Crossing (GTX, or Post-Only) /Good-Till-Date (GTD) orders, where an invalid canceled order is defined as one placed for less than 5 seconds before being canceled. (Rejected orders won't count.) | Invalid Canceled Orders Count/(GTC Orders Count + GTX Orders Count + GTD Orders Count) |
Immediate-or-Cancel (IOC) & Fill-or-Kill (FOK) Expire Ratio (IFER) | Expired IOC & FOK orders as a percentage of all IOC & FOK orders. | Expired IOC & FOK Orders/FOK & IOC Orders Count |
Dust Ratio (DR) | Dust orders as a percentage of all orders, where a dust order is defined as one with a value below the threshold amount. This threshold varies depending on the token ($50 for now). | Dust Orders /Total Orders Count |
Ban Count (BC) | Ban count within 24 hours (*calculated on a rolling basis). | Ban count within 24 hours (*calculated on a rolling basis) |
2. Recording and Ban Thresholds
Eligibility Requirements for Quantitative Rule Whitelist
Users that meet either of the following requirements at account level are eligible for quantitative rule whitelist. Please reach out to your client manager for the request on a specific account or sub-account.
Users that meet either of the following requirements at account level are eligible for quantitative rule whitelist. Please reach out to your client manager for the request on a specific account or sub-account.
- 30-day futures trading volume exceeds 25,000,000,000 USD
- Qualified USDⓢ-Margined Futures Liquidity Provider Program
- Qualified Options Market Makers
VIP 4 to 8
Please note that the current system is symbol-specific. During each 10-minute cycle, symbols with Order Counts above the Recording Threshold will trigger a second-layer calculation (Ban Threshold calculation) to determine if the symbols should be restricted. Symbols that violate the Ban Threshold will be restricted (please refer to the section on Restrictions).
Indicator | Recording Threshold (Per Symbol) | Ban Threshold (Per Symbol) |
Unfilled Ratio (UFR) | All orders count within the cycle ≥ 10,000 | UFR ≥ 0.99 |
Invalid Cancellation Ratio (ICR) | GTC & GTX & GTD orders count within the cycle ≥ 5,000 | ICR ≥ 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 (*calculated on a rolling basis). | BC ≥ 10 (*calculated on a rolling basis) |
Regular and VIP 1 to 3 users
Please note that the current system is symbol-specific. During each 10-minute cycle, symbols with Order Counts above the Recording Threshold will trigger a second-layer calculation (Ban Threshold calculation) to determine if the symbols should be restricted. Symbols that violate the Ban Threshold will be restricted (please refer to the section on Restrictions).
For regular and VIP 1 to 3 users, we have included “N” as a weight in the Threshold calculation, where “N” represents 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 |
Invalid Cancellation Ratio (ICR) | GTC & GTX & GTD orders count within the cycle ≥ 5,000/(1.2^(N-1)) | ICR ≥ 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 (*calculated on a rolling basis) | BC ≥ 10 (*calculated on a rolling basis) |
3. Restrictions
Level Restrictions
LEVEL 1 RESTRICTIONS - Single Symbol Violation
Users who violate the Quantitative Rules will not be allowed to open or increase positions on the affected symbol for 5 minutes. 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.
Example - Violates Quantitative Rules for BTC/USDT Perp
The user will be restricted from opening or increasing positions on BTC/USDT for 5 minutes. This restriction is only applicable for BTC/USDT and it will be lifted automatically after 5 minutes. The user will still be able to place Reduce-Only orders for BTC/USDT and freely trade other symbols that did not violate the rules.
LEVEL 2 RESTRICTIONS - Repeated Violations
Users who violate the Quantitative Rules 10 times for the same symbol within 24 hours will not be allowed to open or increase positions on that symbol for the next 2 hours. 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.
Example - Repeated violations (≥ 10 times within 24 hours) for BTC/USDT Perp
The user will be prohibited from opening or increasing positions on BTC/USDT for the next 2 hours. The restrictions will be lifted automatically after 2 hours. The user can still place Reduce-Only orders on BTC/USDT and freely trade other symbols that did not violate the rules.
LEVEL 3 RESTRICTIONS - Cross-Currency Violation
Users who have 10 (or more) symbols restricted at the same time will trigger an account-level restriction. Users will not be allowed to open or increase positions on 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 - Violates Quantitative Rules on BTCUSDT, ETHUSDT, BNBUSDT Perp, etc. (on more than 10 symbols)
The user trades on 15 different symbols, including BTCUSDT, ETHUSDT, BNBUSDT Perpetual contracts, and violates quantitative trading rules. This action triggers a Level 3 Restriction. Under this scenario, the specific account or sub-account of the user will be immediately restricted. This restriction is automatically enforced and specifically targets the account or sub-account in violation.
Symbol Restrictions
Users holding positions or opened orders in 50 (or more) different symbols on the same account or sub-account may be marked as Reduce Only, allowing users to only place orders to decrease their positions. Please note that this process is not automated, but Binance reserves the right to take immediate action on a case-by-case basis if a client exceeds this threshold.
Example - Exceeds the Symbol Restrictions Suggestion
User has two sub-accounts (Sub-account 1 and Sub-account 2). Sub-account 1 holds positions in 50 different symbols, while the master account and Sub-account 2 hold no positions. According to the symbol restriction, since Sub-account 1 hits the maximum position limit, Binance reserves the right to restrict Sub-account 1 from opening new positions in any symbols or increasing existing positions. The user can only place Reduce-Only orders in Sub-account 1, but they can freely trade with the master account and Sub-account 2, provided those accounts aren’t violating any rules.
Important Note
- The aforementioned Quantitative Rules have been in effect since Feb 18, 2022 (00:00 UTC).
- Only applicable to USDⓈ-M Futures Contract.
- Real-time 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 UTC that is executed later at 10:12 UTC, 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 - 10:20 UTC.
- For any activities that negatively affect our system's performance, including but not limited to having open orders or positions on a maximum of 50 futures contracts per account or sub-account, creating multiple accounts to circumvent Quantitative Rules, or any other trading behaviors that negatively affect our system's performance, Binance reserves the right to impose a Reduce Only status or immediately remove from the Quantitative Rules Exemption Whitelist.
To learn more, please visit the Futures Contracts FAQs page.
1. What error message will the user receive upon violation of the Quantitative Rules?
{
"code": -4400,
"msg": "Futures Trading Quantitative Rules violated, only reduce Only order is allowed, please try again later."
}
2. How is “N” calculated?
“N” represents 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 an open order count towards the Open Order count if it is filled/canceled within the cycle?
No, it will not count towards the Open Order count. 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 for each symbol.
5. If an order placed in the previous cycle gets filled, will it 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 in the past 10 minutes / Total quantity of all orders placed in the past 10 minutes)
6. Are rejected orders and Reduce-Only orders counted towards the calculation?
Rejected orders do not count towards the calculation but 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?
Not necessarily. As long as all the indicators (UFR, GCR, IFER andDR) are within the thresholds, 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., 00:00-00:10, 00:10-00:20, 00:20-00:30, 00:30-40, 00:40-00:50, 00:50-1:00.
9. Will users be banned immediately once they exceed the Ban Threshold?
Users who exceed the Ban Threshold will be banned immediately or close to the end of the 10-minute cycle. The interval between the violation and the ban is not fixed.