Post-Trade Limits
The following table lists CFE post-execution risk limits, access for setting limits (TPH and/or Clearing Firm), and the applicable product type. A reset of any post-execution limit will set the tracked risk value to zero.
| Risk Limit | Description | Access | Product Type |
|---|---|---|---|
| Rate Based Notional | Notional is computed as the sum of the products of premium multiplied by number of contracts. Full executions of all contracts for an order/quote will not be avoided to prevent exceeding notional rate limits. | TPHs | Options |
| Rate Based Volume | Volume is computed as the sum of the number of contracts executed. When the total number of contracts executed exceeds the specified value within the specified number of milliseconds, the limit is triggered. Full execution of all contracts for an order/quote will not be avoided to prevent exceeding volume rate limit. | TPHs |
|
| Rate Based Count | Count is computed as the number of executions. Premium and number of contracts have no bearing on this computation. If a TPH specified a limit of 10 executions per second, the 10th execution within a single second will trigger the rate limit and prevent additional executions. Cancellations will be issued and rejects of new orders/quotes will occur. | TPHs | Options |
| Rate Based Percentage of Quote | Percentage of Quote is computed as the sum of the overall percentage of executions as a percentage of order/quote volume outstanding for each order/quote in a particular Product Risk Root during the specified time period. Note that executions resulting from IOC orders will be included in the Percentage of Quote calculation. | TPHs | Options |
| Absolute Notional |
|
| Options |
| Absolute Volume | Similar to rate based volume with the exception that time is not considered. If X' contracts have been executed, the limit is reached. Cancels are issued and new orders/quotes are rejected until the customer has a chance to assess and decides to reset. | TPHs | Options |
| Absolute Count | The absolute count behaves similarly to rate based count limits with the exception that time is not considered. If X' executions have been executed the limit is reached. Cancels are issued and new orders/quotes are rejected until the customer has a chance to assess and decides to reset. | TPHs | Options |
| Absolute Percentage of Quote | The absolute percentage of quote is similar to the rate based percentage of quote with the exception that time is not considered. If X' percentage has been executed, the limit is reached. Cancels are issued and new orders/quotes are rejected until the customer has a chance to assess and decides to reset. | TPHs | Options |
Risk Limits apply to all order types. Any order or quote of any kind submitted to CFE that has been executed either fully or partially will decrement remaining values in a particular post-execution risk rule, while any order or quote that has been accepted will contribute to the net long/short calculation.