Pre-Trade Limits
The following table lists CFE Pre-Order Risk Limits, TPH and Clearing Firm access for setting limits (Optional/Required), and the applicable product type.
| Risk Limit | Description | TPH | Clearing Firm | Product Type(s) |
|---|---|---|---|---|
| Limit Order Protection | An incoming order/quote will be rejected if the order/quote is equal to or more aggressive than the opposite-side best quote in addition to the specified percentage. Applies to simple futures instruments only. | Optional | Required | Futures |
| Max Order Size | An incoming order/quote will be rejected if its size exceeds the specified number of contracts. Spread Orders are evaluated by the size of the largest leg. | Optional | Required | Futures Options |
| Max Order Notional |
| Optional | Required | Options |
| Net Long Contracts | The net long contracts is calculated as (buy contracts open) + (buy contracts executed) - (sell contracts executed) for the current trade date. When the calculated number exceeds the specified limit, incoming orders/quotes will be rejected. Block/ECRP trades are counted, as are the individual leg components of spread orders. | N/A | Required | Futures |
| Net Short Contracts | The net short contracts is calculated as (sell contracts open) + (sell contracts executed) - (buy contracts executed) for the current trade date. When the calculated number exceeds the specified limit, incoming orders/quotes will be rejected. Block/ECRP trades are counted, as are the individual leg components of spread orders. | N/A | Required | Futures |
A change to either the Max Order Size or Max Order Notional limit will not immediately be applied to resting orders on the order book unless a resting order is modified or otherwise re-handled (i.e. GTC order load) by the CFE system.