Exchange Order Filters for Price, Quantity, Notional, and Position Limits

Summary

This reference explains exchange rules that determine whether orders can be submitted. Symbol-level filters cover price bounds and tick increments, quantity bounds and step sizes, notional limits, iceberg order sizing, trailing-stop deltas, and caps on open orders or positions. Some rules use a reference price or a recent volume-weighted average when evaluating market orders or price bands.

The document also distinguishes symbol, exchange-wide, and asset-level constraints. Exchange filters cap order counts across the account, while the asset filter limits the quantity or notional transacted for a particular asset. These rules are operational guidance rather than a trading strategy: they help traders and system builders validate orders and understand rejections. The page lists each filter’s parameters and conditions but provides no empirical analysis, strategy performance, or discussion of how exchanges update filter values; users must consult current exchange metadata for live limits.

Key ideas

• Price filters impose minimums, maximums, tick increments, or bands relative to a reference price.
• Quantity and notional filters constrain order size, including separate rules for market orders.
• Order-count, iceberg, amendment, and order-list filters limit account activity at symbol or exchange level.
• The maximum-position filter includes balances and the quantity of open buy orders.
• Asset limits apply to base-asset quantity or quote-asset notional, depending on the asset’s role.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.