Risk Limits
Risk limits are associated with EFIDs assigned by CFE. EFIDs specify the designated clearing relationship as well as the risk management setting that applies to an order/quote. EFIDs for each order/quote submitted to CFE are specified using the ClearingFirm field (FIX Tag 115) or via the Default Executing Firm ID port setting.
TPHs configure each port with one or more EFIDs that are entitled to submit orders/quotes on that port (via CFE Trade Desk). One EFID can also be entitled to submit orders/quotes on multiple ports. The Risk Limits described in this document are specified and enforced strictly on the basis of EFID and are not related to individual ports.
TPHs provision risk limits on an EFID-by-EFID basis. Using the CFE Risk Management Tool, TPHs upload files specifying risk settings for one or more of their EFIDs (i.e., they can provision subsets of their EFID risk settings). Clearing Firms, on the other hand, are provided the ability to provision limits on individual EFIDs and groups of EFIDs. When provisioning risk settings for an EFID group, the risk settings are applied to the aggregated activity across the EFID group and risk trips affect all EFIDs comprising the group. An EFID that is a member of a group cannot appear in any other group, nor can their risk settings be specified outside of the context of their group. As a result of complexity related to group constraint enforcement, Clearing Firms using the group-enabled interface must upload all risk settings when any changes are made to any EFID or EFID group risk settings. Clearing Firms may request a by-EFID interface that allows uploading individual EFID risk settings (similar to the TPH interface). Clearing Firms that opt for the by-EFID interface will not be able to apply risk settings to groups of EFIDs. By default, Clearing Firms will be configured to use the group-enabled interface. To change to the by-EFID interface, Clearing Firms must contact the CFE Trade Desk. See CFE Risk Management Tool for detailed description of the use of the group-enabled and by-EFID Clearing Firm interfaces for provisioning risk limits.