Exchange Trading Filters for Prices, Quantities, and Order Limits
Summary
This reference explains exchange rules that determine whether orders satisfy symbol, exchange-wide, or asset-level constraints. Symbol filters cover permitted price ranges and tick increments, quantity bounds and steps, notional limits, and controls on iceberg orders, trailing stops, positions, amendments, and open-order counts. Some price and notional checks for market orders use a reference price or a recent volume-weighted average, with the last price used when the averaging interval is zero.
Exchange filters impose account-level limits on open orders and order lists across the venue, while the asset filter caps the amount of a base or quote asset in a single order. The examples show the relevant fields and representative values, but these are format illustrations rather than universal settings. The rules describe order validation and operational constraints; they do not offer a trading strategy or evidence about profitability. Implementations must obtain current filter values and apply the rules relevant to the instrument and order type.
Key ideas
- Symbol filters constrain valid prices, quantities, notionals, and order characteristics.
- Tick sizes and step sizes require prices and quantities to align with permitted increments.
- Market-order price checks may rely on a reference price or recent volume-weighted average.
- Exchange filters cap open-order counts and order lists across the venue.
- Asset filters limit the amount of a base or quote asset in a single order.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.