Trading rate limits

For many traders, knowing the specific details of the trading rate limit algorithms is not necessary; it is sufficient to know approximately how many order events can happen within a certain amount of time (essentially answering the question "How many orders can I place/cancel per minute?").

As there are potentially unlimited combinations of order events (placing, executing, cancelling) and order lifetimes (how long an order remains posted to the order book), it is not possible to provide a single exact value, but the following chart provides examples for several typical combinations.

The Intermediate and Pro columns indicate the account verification level, along with the maximum number of order events that can occur per minute on a consistent basis without reaching the trading rate limits.

As shown above, verifying an account to a higher level, increasing the order fill rate, or increasing the order lifetime will all significantly decrease the rate limit usage, thereby allowing a higher sustained number of order events per minute.

Our trading rate limits are based upon a counter that increases as orders are placed and cancelled, and decreases over time at a fixed decay rate. The rate limits are reached whenever this counter exceeds a maximum value (which varies depending upon the account verification level).The maximum counter values (the rate limit reached values) for each account type are as follows:

The decay rate (the rate at which the counter decreases) is also based upon the account verification level. The following are the decay rates for each account type:

The rate limit counter increases as each order event (placing or cancelling) occurs, with order cancellations causing the largest increase. The following chart shows the amount of counter increase (known as the penalty) for each type of order event:

Notes:

The following is an example of how the maximum counter value, the counter increase due to order events, and the counter decrease due to the decay rate combine together to implement the trading rate limits for a pro level account.

Placing 20 limit orders and cancelling each order after 3 seconds, would incur a penalty of 9 points per order, or a cumulative total of 180 points:

The 180 point penalty would then be reduced by 3.75 points per second, hence it would take only 1 second before three new orders could be placed (as each new order would incur 1 order placing penalty), but it would take 48 seconds for the rate limits to be cleared entirely (back to zero):

The following calculations show how to determine the maximum number of order events per minute that can be sustained without reaching the rate limits:

As an example for a pro level account placing limit orders, 60% of which were filled after 3 seconds, and 40% of which were cancelled after 8 seconds:

As a real world example of the trading rate limits, the following is a chronological transcript of how the penalty counter increases and decreases as orders are placed/cancelled.

In this example, the account type is a pro level account (hence a maximum counter value of 180 with a decay rate of 3.75 per second), and the order activity is placing 3 orders (at a rate of 1 order every 0.5 seconds) and then cancelling 3 orders (using a FIFO so that the oldest order is cancelled first).

In addition to the examples shown above, our trading rate limit calculator allows the maximum number of order events to be determined for any combination of order fill rate and order lifetime. With only a few variables (such as account verification level), order events can be specified as a percentage or as an absolute quantity, and the calculator will indicate whether the desired combination fits within the trading rate limits or not.