Risk Limit Types
Risk limit rules are defined by specifying an EFID or EFID Group, an optional Risk Root, a risk limit type and the risk limit threshold value. A collection of risk limit rules comprise a "Risk Profile".
When a risk limit rule threshold value is exceeded, trading will stop, open orders/quotes will be canceled and any new orders/quotes received will be rejected for the EFID(s) and Risk Root (if any) associated with the risk limit.
Both the cancel and reject acknowledgments returned to the customer over the order entry session will carry a specific reason code that allows customers to identify whether an EFID Level, EFID Group Level or Risk Root (Symbol) Level or a risk lockout by CustomGroupID has occurred.
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| Risk Trips is computed as the sum of all Rate Based and Absolute Risk Limit Types for Notional, Volume, Count and Percentage of Quote risk trips. For example, if a customer specifies a limit of five Risk Trips per second across EFIDs ABCD and WXYZ, order/quote cancellation and rejection will occur following the fifth risk trip. | ||||||||||||||||||||||||||||||||||||||||
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| 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. For example, if a customer specifies a limit of 20 contracts per second and receives an execution for 10 contracts followed by a second execution for 15 contracts (10 + 15 = 25 contracts) within a single second, both executions will occur followed by cancellations of pending orders/quotes and rejects of new orders/quotes. | ||||||||||||||||||||||||||||||||||||||||
| Count is computed as the number of executions. Premium and number of contracts have no bearing on this computation. If a customer 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. | ||||||||||||||||||||||||||||||||||||||||
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| The absolute Risk Trip behaves similarly to the rate based Risk Trip with the exception that time is not considered. After X risk trips across effective EFIDs has been reached, cancellations will be issued and rejects of new orders/quotes will occur. | ||||||||||||||||||||||||||||||||||||||||
| The absolute notional behaves similarly to rate based notional limits with the exception that time is not considered. If X dollars in notional 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. | ||||||||||||||||||||||||||||||||||||||||
| 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. | ||||||||||||||||||||||||||||||||||||||||
| 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. | ||||||||||||||||||||||||||||||||||||||||
| The absolute percentage of quote is similar to the rate based percentage of quote with the exception that time is not considered. If Xpercentage 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. |