Tl;dr As part of our goal to continually improve the trading experience and better protect our customers, we are making changes to our market parameters on June 2, 2020 .
Min Order Size Limits: Simplifying with just a check on notional
As crypto asset prices fluctuate, the base and quote order size limits on our Exchange can diverge in notional terms. We try to keep up with the market by updating these limits on a regular basis, but we realize the frequency of the changes can lead to customer confusion.
Instead of maintaining both base min order size and quote min order size, we are changing our size limits to consider simply the notional value of the order submitted to our exchange. Notional is defined as order size (or quantity, in the base currency) multiplied by order price (or funds, in the quote currency).
For example, consider the DOGE-USD market, where the quote min order size is 1. Suppose a trader submits the limit order: “Buy 10 DOGE at a price no greater than $0.15”
Check on notional: 10 * 0.15 = 1.5
Since 1.5 > 1, the order will be accepted.
Pursuant to this change, we will deprecate the base min order size variable from our market parameters. We will maintain the quote min order size limit as the check on notional. The check will apply to all orders where funds in the quote currency are specified (e.g. limit orders and market buys).
For API traders, please note that we will deprecate the use of base_min_size in our /products endpoint on June 2, 2022. On June 16, 2022, we will remove this variable from our endpoint. We will continue to maintain min_market_funds, with the new logic checking notional size of the order.
Max Order Size Limits: Deprecating in favor of our dynamic PPP protections
We set our max order size limits on a per-order book basis, considering depth of order book within 500bps over recent time periods, in order to protect our clients from submitting single large-sized orders that would move the market significantly. We assign higher max order size limits to order books that are more liquid. However, these limits are static and order book depth (liquidity) can fluctuate.
Meanwhile, our price protection points (PPPs) are a dynamic, real-time defense against significant price movements caused by a single order, and are set more conservatively to guard against slippage than our max order size limits. For this reason, we believe our price protection points (PPPs) better serve our clients and have decided to remove our static max order size limits.
We will deprecate the use of our base max order size and quote max order size limits from our market parameters. API traders should note that base_max_size and max_market_funds on our /products endpoint will no longer be enforced on June 2. On June 16, 2022 we will remove these variables from our endpoint.
Upcoming Changes to Order Size Limits was originally published in The Coinbase Blog on Medium, where people are continuing the conversation by highlighting and responding to this story.