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Quantitative Finance · Glossário

O que é Rate limit, request weight?

Também chamado de: rate limit · request weight

Definition 15.4 Markets III: Commodities, Energy and Crypto · Capítulo 15 — Centralised Exchanges

A rate limit is the maximum number of requests, or of units of load, that a venue accepts from a client in a time interval, beyond which it rejects requests and may ban the client for a period. A request weight is the number of units a request consumes against such a limit, set by the venue per endpoint to reflect its cost: a full order-book snapshot weighs more than a single order.

A quoting strategy on five instruments under a limit of 100 orders per 10 seconds: 5 quote updates a second, 25 a second in a volatile minute (seconds 60 to 119). Queued and sent in order, the backlog reaches 900 updates and the oldest waits 89 seconds; coalesced (only the latest quote per instrument kept), nothing waits. Illustrative rates; the limits are those of . Data: the chapter’s tutorial.
Figure 15.2. A quoting strategy on five instruments under a limit of 100 orders per 10 seconds: 5 quote updates a second, 25 a second in a volatile minute (seconds 60 to 119). Queued and sent in order, the backlog reaches 900 updates and the oldest waits 89 seconds; coalesced (only the latest quote per instrument kept), nothing waits. Illustrative rates; the limits are those of Box 15.1. Data: the chapter’s tutorial.
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