Usage of Product Field for Pooled Futures Risk Limits
CFE will pool activity from certain related futures products together for the purposes of calculating the Net Long and Net Short position limits. CFE will designate the product pool symbol and the relationship of the pooled products to users by exchange notice. Users are advised to not upload the individual futures product when setting net_long and net_short limits for a pool, but instead should use the pool symbol noted below. Risk uploads that include an invalid product (i.e. VXM or VMXT) and a net_long or net_short limit type will be rejected.
The pools that exist on the CFE platform are also detailed below. A multiplier may be assigned to one or more products in a pool in order to ensure that risk values tracked across disparate products is normalized to one of the products in the group.
| Pool Name | Pool Symbol (used in risk upload) | Risk Root 1 (multiplier) | Risk Root 2 (multiplier) |
|---|---|---|---|
| VX Futures (non-TAS) | VX | VX (1.0) | VXM (0.1) |
| VX Futures (TAS) | VXT | VXT (1.0) | VXMT (0.1) |
Example 1:
- Order 1 = VX buy order for 100 contracts = 100 net long
- Order 2 = VXM buy order for 100 contracts = 110 net long
Resulting decimal values for any risk value resulting from a multiplier calculation are always rounded up.
Example 2:
- Order 1 = VX buy order for 100 contracts = 100 net long
- Order 2 = VXM buy order for 1 contract = 100.1 net long = 101 net long
Example 3:
- Order 1 = VX buy order for 100 contracts = 100 net long
- Order 2 = VXM buy order for 1 contract = 100.1 net long = 101 net long
- Order 3 = VXM buy order for 1 contract = 100.2 net long = 101 net long
- Order 4 = VXM buy order for 6 contracts = 100.8 net long = 101 net long