Filters (交易过滤器)¶

来源: https://github.com/binance/binance-spot-api-docs/blob/master/filters.md

过滤器定义了交易对或交易所的交易规则，分为三种：symbol filters、exchange filters 和 asset filters。

Symbol Filters¶

定义交易对的价格规则：

minPrice - 最小价格；设为 0 表示禁用
maxPrice - 最大价格；设为 0 表示禁用
tickSize - 价格步长；设为 0 表示禁用

规则：price >= minPrice && price <= maxPrice && price % tickSize == 0

{
  "filterType": "PRICE_FILTER",
  "minPrice": "0.00000100",
  "maxPrice": "100000.00000000",
  "tickSize": "0.00000100"
}

PERCENT_PRICE¶

基于历史加权平均价的价格范围限制。

price <= weightedAveragePrice *multiplierUp
price >= weightedAveragePrice*multiplierDown

{
  "filterType": "PERCENT_PRICE",
  "multiplierUp": "1.3000",
  "multiplierDown": "0.7000",
  "avgPriceMins": 5
}

PERCENT_PRICE_BY_SIDE¶

按买卖方向分别定义价格范围。

{
  "filterType": "PERCENT_PRICE_BY_SIDE",
  "bidMultiplierUp": "1.2",
  "bidMultiplierDown": "0.2",
  "askMultiplierUp": "5",
  "askMultiplierDown": "0.8",
  "avgPriceMins": 1
}

LOT_SIZE¶

定义交易对的数量规则：

minQty - 最小数量
maxQty - 最大数量
stepSize - 数量步长

规则：quantity >= minQty && quantity <= maxQty && quantity % stepSize == 0

{
  "filterType": "LOT_SIZE",
  "minQty": "0.00100000",
  "maxQty": "100000.00000000",
  "stepSize": "0.00100000"
}

MIN_NOTIONAL¶

最小名义价值 (price* quantity)。

{
  "filterType": "MIN_NOTIONAL",
  "minNotional": "0.00100000",
  "applyToMarket": true,
  "avgPriceMins": 5
}

NOTIONAL¶

名义价值范围限制。

{
  "filterType": "NOTIONAL",
  "minNotional": "10.00000000",
  "applyMinToMarket": false,
  "maxNotional": "10000.00000000",
  "applyMaxToMarket": false,
  "avgPriceMins": 5
}

ICEBERG_PARTS¶

冰山订单最大分拆部分数 = CEIL(qty / icebergQty)。

{ "filterType": "ICEBERG_PARTS", "limit": 10 }

MARKET_LOT_SIZE¶

MARKET 订单的数量规则（同 LOT_SIZE 结构）。

{
  "filterType": "MARKET_LOT_SIZE",
  "minQty": "0.00100000",
  "maxQty": "100000.00000000",
  "stepSize": "0.00100000"
}

MAX_NUM_ORDERS¶

单交易对最大挂单数（含 algo 订单）。

{ "filterType": "MAX_NUM_ORDERS", "maxNumOrders": 25 }

MAX_NUM_ALGO_ORDERS¶

单交易对最大 algo 订单数（STOP_LOSS、STOP_LOSS_LIMIT、TAKE_PROFIT、TAKE_PROFIT_LIMIT）。

{ "filterType": "MAX_NUM_ALGO_ORDERS", "maxNumAlgoOrders": 5 }

MAX_NUM_ICEBERG_ORDERS¶

单交易对最大冰山订单数。

{ "filterType": "MAX_NUM_ICEBERG_ORDERS", "maxNumIcebergOrders": 5 }

MAX_POSITION¶

账户在某基础资产上的最大持仓（free + locked + 所有 BUY 订单的 qty 之和）。

{ "filterType": "MAX_POSITION", "maxPosition": "10.00000000" }

TRAILING_DELTA¶

trailingDelta 的最小和最大值。

{
  "filterType": "TRAILING_DELTA",
  "minTrailingAboveDelta": 10,
  "maxTrailingAboveDelta": 2000,
  "minTrailingBelowDelta": 10,
  "maxTrailingBelowDelta": 2000
}

MAX_NUM_ORDER_AMENDS¶

单个订单的最大修改次数。

{ "filterType": "MAX_NUM_ORDER_AMENDS", "maxNumOrderAmends": 10 }

MAX_NUM_ORDER_LISTS¶

单交易对最大挂单列表数。

{ "filterType": "MAX_NUM_ORDER_LISTS", "maxNumOrderLists": 20 }

Exchange Filters¶

EXCHANGE_MAX_NUM_ORDERS¶

交易所级别最大挂单数。

{ "filterType": "EXCHANGE_MAX_NUM_ORDERS", "maxNumOrders": 1000 }

EXCHANGE_MAX_NUM_ALGO_ORDERS¶

交易所级别最大 algo 订单数。

{ "filterType": "EXCHANGE_MAX_NUM_ALGO_ORDERS", "maxNumAlgoOrders": 200 }

EXCHANGE_MAX_NUM_ICEBERG_ORDERS¶

交易所级别最大冰山订单数。

{ "filterType": "EXCHANGE_MAX_NUM_ICEBERG_ORDERS", "maxNumIcebergOrders": 10000 }

EXCHANGE_MAX_NUM_ORDER_LISTS¶

交易所级别最大订单列表数。

{ "filterType": "EXCHANGE_MAX_NUM_ORDER_LISTS", "maxNumOrderLists": 20 }

Asset Filters¶

MAX_ASSET¶

单笔订单中某资产的最大交易数量。

{ "filterType": "MAX_ASSET", "asset": "USDC", "limit": "42.00000000" }