Risk Limit Breach Behavior

When a risk limit is breached one of the following will occur depending on the configured risk rule:

• For Reject and Cancel, resting orders are cancelled and inbound orders are rejected.
• For Reject Only, resting orders are not cancelled and inbound orders are rejected.

In the case of a reject due to a MPID-level or Strategy/RiskGroupID risk limit breach the FIX and BOE Text field (58) will carry a value of:

• f: RiskMgmtFirmLevel

When either is observed by a customer, it indicates that any order still in flight, and any new orders issued for the MPID or MPID+RiskGroupID will be rejected. In order to continue trading after a risk limit breach, a user from either the trading firm or clearing firm must update their defined limit to an amount above their current risk exposure.

Customers may also initiate a self-imposed lockout at any time at either the MPID or MPID+RiskGroupID level using a purge message via the FIX or BOE order entry protocols. For more information consult the appropriate order entry specification.