Risk Limit Types
A collection of risk limits may be defined for each level. When any one of the limits is breached open orders will be cancelled, and any new orders received will be rejected. Members may configure both an MPID level limit as well as a more specific Strategy/RiskGroupID level limit for a subset of the order flow for that same MPID. Both limits will be in effect concurrently.
| Limit Name | Type | Description |
|---|---|---|
| Absolute Gross Notional Value | abs_ntnl |
|
| Absolute Net Notional Value | abs_nntnl |
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| Aggregated Gross Credit | agg_gcdt | Aggregated Gross Credit is calculated as the total notional value (price*size) of all open orders plus all executed orders. All values are summed, and when the value exceeds the defined limit, the risk limit is breached. Unexecuted market orders do not impact open order exposure as those orders do not have a price at time of order entry. When (Open Buy Notional) + (Executed Buy Notional) + (Open Sell Notional) + (Executed Sell Notional) >= Defined Limit, the risk limit is breached. |
| Aggregated Net Credit | agg_ncdt | Aggregated Net Credit is calculated as the total notional value (price*size) of all open orders plus all executed orders, with buys netted against sells. When the absolute value exceeds the defined limit, the risk limit is breached. Unexecuted market orders do not impact open order exposure as those orders do not have a price at time of order entry. When |(Open Buy Notional + Executed Buy Notional) - (Open Sell Notional + Executed Sell Notional)| >= Defined Limit, the risk limit is breached. |