File Format

The file format used for uploading a new profile or downloading a copy of an active file is identical. Each line of the file represents a rule containing a comma-separated list of fields. The fields are described in the example that follows:

executing_firm_ids, limit_type, product, limit_value, time_limit, product_type

• executing_firm_ids - This field specifies the EFID (or EFIDs) to which the risk setting applies. TPHs specify one EFID per record whereas Clearing Firms can group EFIDs as described below:

  For TPHs and Clearing Firms with by-EFID interface: This field may contain only a single EFID.

  For Clearing Firms with group-enabled interface: This field may contain multiple EFIDs by separating them with the vertical bar (|) character. Note that EFIDs associated with multiple TPH firms cannot be intermixed on the same line.

• limit_type - The limit type is one of the following values:
  1. lmt_pct - Limit Order Protection percentage value.
  2. max_size - Maximum Order Size value.
  3. max_ntnl - Maximum Order Notational.
  4. net_long - Net Long Exposure limit (Clearing Firms only).
  5. net_short - Net Short Exposure limit (Clearing Firms only).
  6. rate_ntnl - A rate based notional limit (TPHs only).
  7. rate_vol - A rate based volume limit (TPHs only).
  8. rate_count - A rate based count limit (TPHs only).
  9. rate_pctqt - A rate based percentage of quote limit (TPHs only).
  10. abs_ntnl - An absolute notional limit.
  11. abs_vol - An absolute volume limit (TPHs only).
  12. abs_count - An absolute count limit (TPHs only).
  13. abs_pctqt - An absolute percentage of quote limit (TPHs only).
• product - The product is the futures root symbol, such as, AMB1, VA, VX, IBIG, etc. or the pool symbol. See Usage of Product FIeld for Pooled Futures Risk Limits for more information on pooled risk limits for net_long and net_short limit types. The futures root symbol should be used for both futures and options risk rules, which means that UX1A and UX3C would not be valid values even for options risk limits.
• limit_value - This value must be an integer value. Floating point values are not accepted. When the limit type is a volume type, this represents cumulative contracts traded in a product.
• time_limit - This field is ignored when the limit type is an absolute type. For rate types, this represents the number of milliseconds in the window. Values of less than 100 milliseconds will be treated as 100 milliseconds. In other words, the minimum time frame is 1/10^th of a second. If no time limit is specified, the default value of 1000 will apply.
• product_type - This field designates which product type the risk rule applies. Supported values are option, future, or both. If no product type is specified, the default value of future will apply.