Risk Root (Symbol) Level

Symbol-level rules are based on the Risk Root. The Risk Root is defined as the underlying symbol.

All Risk Limit Types except Rate Based Risk Trips and Absolute Risk Trips are supported at the Risk Root level. A Risk Root level limit can also be thought of as EFID + Risk Root since a single EFID is required to be identified on each Risk Root rule. This is the most specific level available and allows for rules to operate within the Matching Engine process for a given Risk Root. This provides the most control in preventing unwanted over-execution.

For example, a corporate action can result in multiple OSI roots (XYZ, XYZ1, XYZ2) that share the same underlying symbol (XYZ). Only a single Risk Root (symbol) level rule for underlying XYZ is allowed in this scenario.

On C1 only, SPX and SPXW can be configured with separate risk root limits even though they share the same underlying symbol (SPX) due to the fact that those two osi roots exist on separate Matching Engines. Customers are to be advised that a limit in SPX will not immediately apply to SPXW. Customers are recommended to upload separate risk settings for SPX and SPXW options and should note that a trip on either a SPX or SPXW risk root level rule will result in a message being sent to trip the other symbol on a best efforts basis. For example, if a firm trips a rate_count limit on SPX a message will be sent from the SPX Matching Unit to the SPXW Matching Unit and all SPXW orders or quotes will be cancelled on a best-effort basis.

Customers must ensure that executing firm ids (EFID) and the risk roots (option underlying) in risk rule specifications are aligned with respect to associated clearinghouse. For example, a risk rule could be specified with an OCC EFID and a risk root corresponding to a CCUS-cleared option. The result of a risk rule configured this way is that the risk rule will never trip. The onus is on the customer to ensure alignment of EFIDs and risk roots with respect to clearinghouse.