Coin-margined Swaps API Limitation on Order Cancellation Ratio

Dear valued users,

In order to provide users with more stable and better API trading experience, Huobi Futures will update Perpetual Swap API Limitation on Order Cancellation Ratio from 17:00 on October 19, 2020 (GMT+8).

1. Detailed rules are laid out as below:

• The system will calculate the order cancellation ratio automatically when the total number of orders placed via certain order price types by the API user goes equal to or larger than 3,000 within 10 minutes. If the order cancellation ratio is greater than 99%, the user will be prohibited for 5 minutes from placing orders via certain API order price types which will be listed below.
• A 30-minute prohibition will be triggered if the user was banned for 3 times in an hour. After resuming access, the total number of prohibited times will be cleared during the previous period and will not be counted into the total prohibited times in the new period.
• Please note that the prohibition from placing orders will cause no effect on order cancellation via API as well as order placement and cancellation via other terminals. We’ll keep you notified on each prohibition via SMS and email.
• Only four API order price types will be prohibited which are Limit order, Post_only, FOK and IOC. Please note that you can still use freely other order price types during the banned period, such as Flash Close, BBO, Optimal 5, Optimal 10 and Optimal 20, opponent_ioc, lightning_ioc, optimal_5_ioc, optimal_10_ioc, optimal_20_ioc, opponent_fok, lightning_fok, optimal_5_fok, optimal_10_fok, optimal_20_fok, etc.
• When placing order by using the four prohibited order price types during the prohibition period, the message header returned by interface will include the field: "recovery-time: recovery timestamp" whose unit is millisecond, showing the end time of prohibition, or the access retrieval timestamp; if you are not in the prohibition period, the field is not included in returned header;
• Please note that our system calculates order cancellation ratio according to UID and therefore, the master account UID and sub-accounts UIDs will be counted separately. The calculation period is 10 min/time.
• Definition of Indicators：
• Order Cancellation Ratio=Total number of invalid cancellation / Total number of placed orders (all types of orders placed via API)
• Total number of placed order: Total number of placed orders refers to all orders placed via API which meet these requirements: the order type is placing orders (Order Type = 1), order price types include Limit Order, Post_only, FOK and IOC, and order creating time should be within the interval between 3 seconds before the start time of the calculation period and the end time of the calculation period.
• Total number of invalid cancellation: Total number of invalid cancellation refers to all cancellation orders placed via API which meet the requirements: the order type is placing orders (order Type=1), the order price types are Limit Order, post_only, FOK and IOC, the order status is “Orders cancelled” (status = 7) with 0 fulfilled, the interval between order cancellation and placement should be less than or equal to 3 seconds, and the order creation time should be within the calculation period.

2. Suggestions to help decrease order cancellation ratio:

• Set your orders’ price as close to the BBO price as possible.
• Prolong the interval properly between each order placement and cancellation.
• Try to increase your amount for each order and reduce the frequency of order placement.
• Try to improve your order fulfillment rate:
  1. Please try to use order prices types that help more on order fulfillment in preference such as BBO, Optimal 5, Optimal 10, Optimal 20, Flash Close, opponent_ioc, lightning_ioc, optimal_5_ioc, optimal_10_ioc, optimal_20_ioc, opponent_fok, lightning_fok, optimal_5_fok, optimal_10_fok, optimal_20_fok, etc.
  2. Try to use best bid/ask price when placing IOC orders, FOK orders and Post_only orders. Increase the chance of a deal.
• Please try to extend your request polling cycle when implementing your strategy.

We’re really sorry for any inconvenience that might cause. We will keep you updated timely if there are any changes.

Thanks for your support as always!

September 6, 2020

Huobi Futures

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