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自我交易预防 (Self Trade Prevention - STP) 常见问题

什么是 Self Trade Prevention - STP?​

自我交易预防是指阻止订单与来自同一账户或者同一 tradeGroupId 账户的订单交易。

什么是自我交易（self-trade）?​

在以下任一情况下都可能发生自我交易：

  • 属于同一账户的订单之间交易。
  • 属于相同 tradeGroupId 的账户的订单之间交易。

STP 触发时会发生什么？​

如果订单会触发自我交易，系统将执行三种可能的模式：

EXPIRE_TAKER - 此模式通过立即使吃单者(taker)的剩余数量过期来预防交易。

EXPIRE_MAKER - 此模式通过立即使潜在挂单者(maker)的剩余数量过期来预防交易。

EXPIRE_BOTH - 此模式通过立即同时使吃单和挂单者的剩余数量过期来预防交易。

STP 的发生取决于 Taker 订单 的 STP 模式。
因此，订单薄上的订单的 STP 模式不再有效果，并且将在所有未来的订单处理中被忽略。

如何在订单上设置自我交易预防 ？​

自我交易预防可以通过下单接口的参数selfTradePreventionMode设置，相关接口如下：

  • POST /eapi/v1/order
  • POST /eapi/v1/batchOrders

什么是交易组 Id（Trade Group Id）?​

属于同一 tradeGroupId 的账户被视为同一交易组。相同交易组成员提交的订单有 STP 资格。

每个账户可以从 GET /eapi/v1/accountConfig（REST API）确认账户是否属于同一个 tradeGroupId。

如果该值为 -1，这表示账户未设置 tradeGroupId，因此 STP 只能发生在同一账户的订单之间。

用户可以通过子账户API管理页面将子账户分组到同一个tradeGroupId。

如何知道有那些交易对支持 STP?​

所有GET /eapi/v1/exchangeInfo中的交易对都支持selfTradePreventionMode。

哪些订单类型支持 STP？​

所有类型订单在Time in force(timeInForce)设置为GTC/ IOC/ GTD时支持STP。 当Time in force(timeInForce)为FOK 或 GTX时订单STP设置不生效。

如何知道订单因为 STP 而过期？​

订单的状态会是 EXPIRED_IN_MATCH.

在用户信息流推送 ORDER_TRADE_UPDATE，如果订单因为STP过期字段X会显示EXPIRED_IN_MATCH

{
  "e":"ORDER_TRADE_UPDATE",      // Event Type
  "E":1568879465651,             // Event Time
  "T":1568879465650,             // Transaction Time
  "o":{                             
    "s":"BTC-260228-70000-C",    // Symbol
    "c":"TEST",                  // Client Order Id
      // special client order id:
      // starts with "autoclose-": liquidation order
      // "adl_autoclose": ADL auto close order
      // "settlement_autoclose-": settlement order for delisting or delivery
    "S":"SELL",                  // Side
    "o":"TRAILING_STOP_MARKET",  // Order Type
    "f":"GTC",                   // Time in Force
    "q":"0.001",                 // Original Quantity
    "p":"0",                     // Original Price
    "ap":"0",                    // Average Price
    "sp":"7103.04",              // Stop Price. Please ignore with TRAILING_STOP_MARKET order
    "x":"EXPIRED",               // Execution Type
    "X":"EXPIRED_IN_MATCH",      // Order Status
    "i":8886774,                 // Order Id
    "l":"0",                     // Order Last Filled Quantity
    "z":"0",                     // Order Filled Accumulated Quantity
    "L":"0",                     // Last Filled Price
    "N":"USDT",                  // Commission Asset, will not push if no commission
    "n":"0",                     // Commission, will not push if no commission
    "T":1568879465650,           // Order Trade Time
    "t":0,                       // Trade Id
    "b":"0",                     // Bids Notional
    "a":"9.91",                  // Ask Notional
    "m":false,                   // Is this trade the maker side?
    "R":false,                   // Is this reduce only
    "wt":"CONTRACT_PRICE",       // Stop Price Working Type
    "ot":"TRAILING_STOP_MARKET", // Original Order Type
    "ps":"LONG",                 // Position Side
    "cp":false,                  // If Close-All, pushed with conditional order
    "AP":"7476.89",              // Activation Price, only pushed with TRAILING_STOP_MARKET order
    "cr":"5.0",                  // Callback Rate, only pushed with TRAILING_STOP_MARKET order
    "pP": false,                 // ignore
    "si": 0,                     // ignore
    "ss": 0,                     // ignore
    "rp":"0",                    // Realized Profit of the trade
    "V": "EXPIRE_MAKER",         // selfTradePreventionMode
    "pm":"QUEUE",                // price match type
    "gtd":1768879465650          // good till date
   }
}

STP 的一些示例:​

假设以下示例的所有订单都是在同一个账户下发送。

情况 A - 用户发送带有 EXPIRE_MAKER 的订单，该订单将与订单薄上已有的订单撮合。

Maker 订单 1: symbol=BTC-260228-70000-C side=BUY  type=LIMIT quantity=1 price=51 selfTradePreventionMode=EXPIRE_MAKER
Taker 订单 1: symbol=BTC-260228-70000-C side=SELL type=LIMIT quantity=2 price=50 selfTradePreventionMode=EXPIRE_MAKER

结果 : 由于 STP，订单薄上的订单将会过期，taker 订单将继续在订单薄。

Maker 订单

{
    "orderId":4611875134427365378,
    "symbol": "BTC-260228-70000-C",
    "status": "EXPIRED_IN_MATCH",
    "clientOrderId": "testMaker1",
    "price": "51",
    "avgPrice": "0.0000",
    "origQty": "1",
    "executedQty": "0",
    "cumQuote": "0",
    "timeInForce": "GTC",
    "type": "LIMIT",
    "reduceOnly": false,
    "closePosition": false,
    "side": "BUY",
    "positionSide": "BOTH",
    "stopPrice": "0",
    "workingType": "CONTRACT_PRICE",
    "priceMatch": "NONE",
    "selfTradePreventionMode": "EXPIRE_MAKER",
    "goodTillDate": "null",
    "priceProtect": false,
    "origType": "LIMIT",
    "time": 1692849639460,
    "updateTime": 1692849639460
}

Taker 订单的响应

{
    "orderId":4611875134427365379,
    "symbol": "BTC-260228-70000-C",
    "status": "FILLED",
    "clientOrderId": "testTaker1",
    "price": "50",
    "avgPrice": "50",
    "origQty": "2",
    "executedQty": "2",
    "cumQuote": "50",
    "timeInForce": "GTC",
    "type": "LIMIT",
    "reduceOnly": false,
    "closePosition": false,
    "side": "SELL",
    "positionSide": "BOTH",
    "stopPrice": "0",
    "workingType": "CONTRACT_PRICE",
    "priceMatch": "NONE",
    "selfTradePreventionMode": "EXPIRE_MAKER",
    "goodTillDate": "null",
    "priceProtect": false,
    "origType": "LIMIT",
    "time": 1692849639460,
    "updateTime": 1692849639460
}

情况 B - 用户发送带有 EXPIRE_TAKER 的订单，该订单将与订单薄上已有的订单撮合。

Maker 订单 1: symbol=BTC-260228-70000-C side=BUY  type=LIMIT quantity=1 price=51 selfTradePreventionMode=EXPIRE_TAKER
Taker 订单 1: symbol=BTC-260228-70000-C side=SELL type=LIMIT quantity=2 price=50 selfTradePreventionMode=EXPIRE_TAKER

结果 : 已经在订单薄上的订单将保留，而taker订单将过期。

Maker 订单

{
    "orderId":4611875134427365378,
    "symbol": "BTC-260228-70000-C",
    "status": "NEW",
    "clientOrderId": "testMaker1",
    "price": "51",
    "avgPrice": "0.0000",
    "origQty": "1",
    "executedQty": "0",
    "cumQuote": "0",
    "timeInForce": "GTC",
    "type": "LIMIT",
    "reduceOnly": false,
    "closePosition": false,
    "side": "BUY",
    "positionSide": "BOTH",
    "stopPrice": "0",
    "workingType": "CONTRACT_PRICE",
    "priceMatch": "NONE",
    "selfTradePreventionMode": "EXPIRE_TAKER",
    "goodTillDate": "null",
    "priceProtect": false,
    "origType": "LIMIT",
    "time": 1692849639460,
    "updateTime": 1692849639460
}

Taker 订单的状态

{
    "orderId":4611875134427365379,
    "symbol": "BTC-260228-70000-C",
    "status": "EXPIRED_IN_MATCH",
    "clientOrderId": "testTaker1",
    "price": "50",
    "avgPrice": "0.0000",
    "origQty": "2",
    "executedQty": "0",
    "cumQuote": "0",
    "timeInForce": "GTC",
    "type": "LIMIT",
    "reduceOnly": false,
    "closePosition": false,
    "side": "SELL",
    "positionSide": "BOTH",
    "stopPrice": "0",
    "workingType": "CONTRACT_PRICE",
    "priceMatch": "NONE",
    "selfTradePreventionMode": "EXPIRE_TAKER",
    "goodTillDate": "null",
    "priceProtect": false,
    "origType": "LIMIT",
    "time": 1692849639460,
    "updateTime": 1692849639460
}

情况 C - 用户发送带有 EXPIRE_BOTH 的订单，该订单将与订单薄上已有的订单撮合。

Maker 订单: symbol=BTC-260228-70000-C side=BUY  type=LIMIT quantity=1 price=51 selfTradePreventionMode=EXPIRE_BOTH
Taker 订单: symbol=BTC-260228-70000-C side=SELL type=LIMIT quantity=3 price=50 selfTradePreventionMode=EXPIRE_BOTH

结果 : 两个订单都将过期。

Maker 订单

{
    "orderId":4611875134427365378,
    "symbol": "BTC-260228-70000-C",
    "status": "EXPIRED_IN_MATCH",
    "clientOrderId": "testMaker1",
    "price": "51",
    "avgPrice": "0.0000",
    "origQty": "1",
    "executedQty": "0",
    "cumQuote": "0",
    "timeInForce": "GTC",
    "type": "LIMIT",
    "reduceOnly": false,
    "closePosition": false,
    "side": "BUY",
    "positionSide": "BOTH",
    "stopPrice": "0",
    "workingType": "CONTRACT_PRICE",
    "priceMatch": "NONE",
    "selfTradePreventionMode": "EXPIRE_BOTH",
    "goodTillDate": "null",
    "priceProtect": false,
    "origType": "LIMIT",
    "time": 1692849639460,
    "updateTime": 1692849639460
}

Taker 订单

{
    "orderId":4611875134427365379,
    "symbol": "BTC-260228-70000-C",
    "status": "EXPIRED_IN_MATCH",
    "clientOrderId": "testTaker1",
    "price": "50",
    "avgPrice": "0.0000",
    "origQty": "3",
    "executedQty": "0",
    "cumQuote": "0",
    "timeInForce": "GTC",
    "type": "LIMIT",
    "reduceOnly": false,
    "closePosition": false,
    "side": "SELL",
    "positionSide": "BOTH",
    "stopPrice": "0",
    "workingType": "CONTRACT_PRICE",
    "priceMatch": "NONE",
    "selfTradePreventionMode": "EXPIRE_BOTH",
    "goodTillDate": "null",
    "priceProtect": false,
    "origType": "LIMIT",
    "time": 1692849639460,
    "updateTime": 1692849639460
}