自成交预防(STP)简介

2023-08-29 07:03

什么是自成交预防(STP)？

自成交预防(STP)是交易平台采用的一种机制，旨在防止用户无意中与自己进行交易。当同一用户的两笔订单在订单簿上相互撮合时，就会发生自成交情况。STP机制对于维护公平透明的交易环境尤为重要，有助于防止市场价格操纵，确保交易活动准确反映真实的市场利益。

币安通过自成交预防(STP)机制来防止来自同一用户或“tradeGroupId”的订单彼此撮合。

什么是自成交？

在以下情况下，可能发生自成交：

来自同一账户的订单彼此交易。
来自同一“tradeGroupId”的订单彼此交易。

触发STP时会如何？

订单触发自成交预防机制后，系统可能会执行以下四种模式之一：

NONE模式：订单不受自成交预防机制的影响。系统不会对账户或“tradeGroupId”进行对比，也不会使订单失效，交易将正常执行。
EXPIRE_TAKER模式：吃单订单的剩余数量将立即失效以防止交易执行。
EXPIRE_MAKER模式：潜在挂单订单的剩余数量将立即失效以防止交易执行。
EXPIRE_BOTH模式：吃单订单和潜在挂单订单的剩余数量均将立即失效以防止交易执行。

STP的执行情况取决于吃单订单的STP模式。因此，订单簿上现有订单的STP模式将不再适用，并且在所有未来的订单处理中将被忽略。

如何设置订单的STP模式？

STP可通过以下API端点的“selfTradePreventionMode”字段设置：

POST /fapi/v1/order
POST /fapi/v1/batchOrders

什么是“tradeGroupId”？

具有相同“tradeGroupId”的账户被视为属于同一“交易组”。同一交易组的成员提交的订单可能会触发STP，具体取决于吃单订单的STP模式。

用户可以通过API端点GET fapi/v2/account (REST API)确定账户是否属于同一个“tradeGroupId”。

如果相应的值为-1，则表示账户未设置“tradeGroupId”，因此只有同一账户的不同订单之间会触发STP。

哪些币对支持STP？

GET fapi/v1/exchangeInfo中的所有币对都支持STP。

哪些订单类型支持STP？

当“生效时间”(timeInForce)设置为GTC/IOC/GTD时，以下订单类型支持STP：

限价单
市价单
止盈单
市价止盈止损单
市价止盈单
市价追踪止盈止损单

请注意，当“生效时间”(timeInForce)设置为FOK或GTX时，STP无效。

改单是否支持STP？

不，改单暂不支持STP。

如何判断订单是否因触发STP而失效？

请确认订单状态是否显示为“EXPIRED_IN_MATCH”。在用户数据流推送事件“ORDER_TRADE_UPDATE”中，如果订单因触发STP而失效，字段X将显示为“EXPIRED_IN_MATCH”。

{ "e":"ORDER_TRADE_UPDATE", // Event Type "E":1568879465651, // Event Time "T":1568879465650, // Transaction Time "o":{ "s":"BTCUSDT", // 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": "NONE". // selfTradePreventionMode "pm":"QUEUE" // price match type "gtd":1768879465650 // good till date }}

STP示例

假设以下示例中的所有订单均来自同一账户。

情景1：用户发送一个采用“selfTradePreventionMode:NONE”设置的新订单，该订单将与该用户在订单簿上已有的另一个订单撮合。

Maker Order: symbol=BTCUSDT side=BUY type=LIMIT quantity=1 price=20000 selfTradePreventionMode=NONE Taker Order: symbol=BTCUSDT side=SELL type=LIMIT quantity=1 price=20000 selfTradePreventionMode=NONE

结果：不会触发STP，订单将正常撮合。

挂单订单的状态：

{ "orderId": 292864713, "symbol": "BTCUSDT", "status": "FILLED", "clientOrderId": "43N239GaUaqshfG7825184", "price": "20000", "avgPrice": "20000", "origQty": "1", "executedQty": "1", "cumQty": "1", "cumQuote": "20000", "timeInForce": "GTC", "type": "LIMIT", "reduceOnly": false, "closePosition": false, "side": "BUY", "positionSide": "BOTH", "stopPrice": "0", "workingType": "CONTRACT_PRICE", "priceMatch": "NONE", "selfTradePreventionMode": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "updateTime": 1692849639460}

吃单订单的状态：

{ "orderId": 292864714, "symbol": "BTCUSDT", "status": "FILLED", "clientOrderId": "43N239GaUaqshfG7825184", "price": "20000", "avgPrice": "20000", "origQty": "1", "executedQty": "1", "cumQty": "1", "cumQuote": "20000", "timeInForce": "GTC", "type": "LIMIT", "reduceOnly": false, "closePosition": false, "side": "SELL", "positionSide": "BOTH", "stopPrice": "0", "workingType": "CONTRACT_PRICE", "priceMatch": "NONE", "selfTradePreventionMode": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "updateTime": 1692849639460}

情景2：用户发送一个采用“EXPIRE_MAKER”设置的订单，该订单本将与该用户在订单簿上已有的其他订单撮合。

Maker Order 1: symbol=BTCUSDT side=BUY type=LIMIT quantity=1 price=20002 selfTradePreventionMode=NONE Maker Order 2: symbol=BTCUSDT side=BUY type=LIMIT quantity=1 price=20001 selfTradePreventionMode=NONE Taker Order 1: symbol=BTCUSDT side=SELL type=LIMIT quantity=1 price=20000 selfTradePreventionMode=EXPIRE_MAKER

结果：由于触发STP，订单簿上已有的订单会失效，吃单订单将继续保留在订单簿中。

挂单订单1：

{ "orderId": 292864710, "symbol": "BTCUSDT", "status": "FILLED", "clientOrderId": "testMaker1", "price": "20002", "avgPrice": "20002", "origQty": "1", "executedQty": "1", "cumQuote": "20002", "timeInForce": "GTC", "type": "LIMIT", "reduceOnly": false, "closePosition": false, "side": "BUY", "positionSide": "BOTH", "stopPrice": "0", "workingType": "CONTRACT_PRICE", "priceMatch": "NONE", "selfTradePreventionMode": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

挂单订单2：

{ "orderId": 292864711, "symbol": "BTCUSDT", "status": "EXPIRED_IN_MATCH", "clientOrderId": "testMaker2", "price": "20001", "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": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

吃单订单：

{ "orderId": 292864712, "symbol": "BTCUSDT", "status": "PARTIALLY_FILLED", "clientOrderId": "testTaker1", "price": "20000", "avgPrice": "20002", "origQty": "2", "executedQty": "1", "cumQuote": "20002", "timeInForce": "GTC", "type": "LIMIT", "reduceOnly": false, "closePosition": false, "side": "SELL", "positionSide": "BOTH", "stopPrice": "0", "workingType": "CONTRACT_PRICE", "priceMatch": "NONE", "selfTradePreventionMode": "EXPIRE_MAKER", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

情景3：用户发送一个采用“EXPIRE_TAKER”设置的订单，该订单本将与该用户在订单簿上已有的其他订单撮合。

结果：订单簿上的现有订单将保留，而吃单订单将失效。

挂单订单1：

{ "orderId": 292864710, "symbol": "BTCUSDT", "status": "NEW", "clientOrderId": "testMaker1", "price": "20002", "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": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

挂单订单2：

{ "orderId": 292864711, "symbol": "BTCUSDT", "status": "NEW", "clientOrderId": "testMaker2", "price": "20001", "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": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

吃单订单：

{ "orderId": 292864712, "symbol": "BTCUSDT", "status": "EXPIRED_IN_MATCH", "clientOrderId": "testTaker1", "price": "20000", "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_TAKER", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

情景4：用户在订单簿上已有一个订单，然后发送一个采用“EXPIRE_BOTH”设置的新订单，该订单本将与订单簿上的现有订单撮合。

Maker Order: symbol=BTCUSDT side=BUY type=LIMIT quantity=1 price=20002 selfTradePreventionMode=NONETaker Order: symbol=BTCUSDT side=SELL type=LIMIT quantity=3 price=20000 selfTradePreventionMode=EXPIRE_BOTH

结果：两个订单均将失效。

挂单订单：

{ "orderId": 292864710, "symbol": "BTCUSDT", "status": "EXPIRED_IN_MATCH", "clientOrderId": "testMaker1", "price": "20002", "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": "NONE", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

吃单订单：

{ "orderId": 292864712, "symbol": "BTCUSDT", "status": "EXPIRED_IN_MATCH", "clientOrderId": "testTaker1", "price": "20000", "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": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

情景5：用户在订单簿上已有一个采用“EXPIRE_MAKER”设置的订单，然后发送一个采用“EXPIRE_TAKER”设置的新订单，该订单本将与订单簿上的现有订单撮合。

Maker Order: symbol=BTCUSDT side=BUY type=LIMIT quantity=1 price=20002 selfTradePreventionMode=EXPIRE_MAKER Taker Order: symbol=BTCUSDT side=SELL type=LIMIT quantity=1 price=20000 selfTradePreventionMode=EXPIRE_TAKER

结果：由于触发吃单订单的STP模式，吃单订单将失效。

挂单订单：

{ "orderId": 292864710, "symbol": "BTCUSDT", "status": "NEW", "clientOrderId": "testMaker1", "price": "20002", "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": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

吃单订单：

{ "orderId": 292864712, "symbol": "BTCUSDT", "status": "EXPIRED_IN_MATCH", "clientOrderId": "testTaker1", "price": "20000", "avgPrice": "0.0000", "origQty": "1", "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": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

情景6：用户发送一个采用“EXPIRE_MAKER”设置的市价单，该订单本将与订单簿上的现有订单撮合。

Maker Order: symbol=BTCUSDT side=BUY type=LIMIT quantity=1 price=20002 selfTradePreventionMode=NONE Taker Order: symbol=BTCUSDT side=SELL type=MARKET quantity=3 selfTradePreventionMode=EXPIRE_MAKER

结果：由于触发STP，订单簿上的现有订单将失效，状态显示为“EXPIRED_IN_MATCH”。由于订单簿的流动性较低，新订单也将失效，状态显示为“EXPIRED”。

挂单订单：

{ "orderId": 292864710, "symbol": "BTCUSDT", "status": "EXPIRED_IN_MATCH", "clientOrderId": "testMaker1", "price": "20002", "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": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

吃单订单：

{ "orderId": 292864712, "symbol": "BTCUSDT", "status": "EXPIRED", "clientOrderId": "testTaker1", "price": "20000", "avgPrice": "0.0000", "origQty": "3", "executedQty": "0", "cumQuote": "0", "timeInForce": "GTC", "type": "MARKET", "reduceOnly": false, "closePosition": false, "side": "SELL", "positionSide": "BOTH", "stopPrice": "0", "workingType": "CONTRACT_PRICE", "priceMatch": "NONE", "selfTradePreventionMode": "EXPIRED", "goodTillDate": 0, "priceProtect": false, "origType": "LIMIT", "time": 1692849639460, "updateTime": 1692849639460}

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自成交预防(STP)简介

什么是自成交预防(STP)？

什么是自成交？

触发STP时会如何？

如何设置订单的STP模式？

什么是“tradeGroupId”？

哪些币对支持STP？

哪些订单类型支持STP？

改单是否支持STP？

如何判断订单是否因触发STP而失效？

STP示例

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