Introduction

Cboe Titanium U.S. Equities Risk Management functionality has been designed to assist US Equities trading members and clearing firms in managing risk at an aggregate (MPID) and RiskGroupID level. The limits described in this document are separate and distinct from the port-level limits (will be sunset at a future date) described in the Cboe Titanium U.S. Equities/Options Web Portal Port Controls Specification. Risk limit breach behavior will depend on the configured risk rule (see Risk Limit Breach Behavior). Limits may not be reset, but limits may be raised intraday to allow trading to continue when a breach occurs. Limits are configured by the trading firm by default, but a trading firm may optionally delegate control of risk limits for a particular MPID to the clearing firm.

Risk limits do not affect an in-process equity auction, including an auction in a Cboe-Listed symbol. If a Risk trip occurs after an auction cutoff time, then no resting orders will be cancelled for the MPID until the auction is concluded. If there are shares leftover that would normally transition from the auction book to continuous trading, then those shares will be cancelled before that transition occurs.

All risk limit evaluation is performed by a process that consumes a trade by trade feed consisting of activity from all matching units. When a risk breach occurs, then that process immediately sends a message to all matching units in the environment to reject new orders and optionally cancel existing orders. As a result, risk limits defined in this document are done on a best efforts basis where some amount of over execution beyond the defined limit could occur.