USDT-margined Swaps API Limitation on Order Cancellation Ratio

Dear valued users,

In order to provide users with better API trading experience, Huobi Futures will enable API order cancellation rate limitation mechanism for USDT-margined swaps at 17:00 on January 27, 2021 (GMT+8).

1. Detailed rules are laid out as below:

1) The system will calculate the order cancellation rate automatically when the total number of orders placed via certain order price types by the API is equal to or larger than 3,000 within 10 minutes. If the order cancellation rate 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 (The response of placing orders will return: 1084 Your contract API is disabled, please try again after {0} (GMT+8).).

2) A 30-minute prohibition will be triggered if a user has been banned for 3 times in an hour (The response of placing orders will return: 1084 Your contract API is disabled, please try again after {0} (GMT+8).).  After the prohibition is disabled, the total number of prohibited times will be reset and will not be counted into the total prohibited times in the new period.

3) Please note that both placing or cancelling an order from other terminals and cancelling an order by API will not be affected during the prohibition period. We’ll keep you notified on each prohibition via SMS and email.

4) 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 prohibition 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.

5) When placing an 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, that is, the access retrieval timestamp; if you are not in the prohibition period, the field is not included in returned header;

6) Please note that our system calculates the total number of placed orders and order cancellation rate based on UID and therefore, the main account UID and sub-accounts UIDs will be counted separately. The calculation period is 10 min/time.

7) Definition of Indicators：

• Order Cancellation Rate=Total number of invalid cancellation / Total number of placed orders (all types of orders placed via API)
• Total number of placed order: all orders placed via API which meet these requirements: Order Type = 1; orders belong to one of Limit Order, Post_only, FOK and IOC; and order is placed between 3 seconds ahead of the current-period start time and the current-period end time.
• Total number of invalid cancellation:  all cancellation orders placed via API which meet the requirements: order Type=1; orders belong to one of Limit Order, post_only, FOK and IOC; the order is cancelled (status = 7) with 0 filled; the interval time between order cancellation and order placement is less than or equal to 3 seconds; and the order cancellation time is within the current-period.

2. Suggestions to help decrease order cancellation rate:

1)  Set a price closer to the BBO price when placing an order;

2)  Prolong the interval properly between each order placement and cancellation.

3)  Try to increase your amount for each order and reduce the frequency of order placement.

4)  Try to improve your order fulfillment rate:

• 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.
• Try to use best bid/ask price when placing Post_only orders to increase the chance of a deal.

5)  Please try to extend your request polling cycle when implementing your strategy.

We will keep you updated timely if there are any changes. Thanks for your support to Huobi Futures!

Huobi Futures

January 25, 2021