FIX-based Pre-Trade Risk Check Module

The Pre-Trade Risk Check Module (RCM) is a FIX Antenna® based low latency solution, providing order routing capabilities and pre-trade risk check based on predefined set of limits. This is a daemon process that communicates with traders and FIX-compliant trading platforms.

PTRCM_3
 

View larger image

Features

Workflow description

  • Client submits Orders, Cancellations, and Modifications to Pre-Trade Risk Check module via FIX protocol. 
  • Once receives new order from client, Pre-Trade Risk Check module performs risk control. If the order passes risk checks, it is forwarded to the Exchange for ecxecution.
  • Orders, which have not passed the risk checks, are rejected back to clients. When a user is about to reach (reaches) his limits, corresponding alerts are shown in the Monitoring GUI.
  • Pre-Trade Risk Check module performs validation against pre-configured set of rules. Parameters for risk checks (limits) are set via Configuration UI and are stored in a plain text file.
  • Market data based checks take it from the file. Data in the file can be populated and updated at the start of the day and/or intraday by external processs.
  • The same workflow is supported for order cancelation and modification requests.

Available Pre-Trade Risk Limits

All risk limits are configured at Account and User levels. Risk limits set at User level take precedence over limits set on Account level and thus override theml.  The "override" means that the risk check module will check limits at User level and will ignore Account. Limits which are not set at User level, will be copied from respective limits set at Account level.The configuration of pre-trade risk limits is stored in the file which can be modified directly or via RCM Manager.

Risk _limits _4

View larger image

Risk Checks description

Risk Check Limit Type  Level Description
ProhibitTrading Account/User Limit Account/User Turn on/off the trading activity for the Account or User
MaxOrderQty Account/User Limit Account/User Specifies the maximum order quantity for the whole Account or particular User
MaxDailyLoss Account/User Limit Account/User Specifies maximum amount of daily loss for the whole Account or particular User.
DuplicateOrderThrottle User Limit User

Specifies how many duplicate orders User is permitted to send per second. Two orders are considered to be duplicate as long as they have the same:

  • Security value (tag 107)
  • Order Side value (tag 54)
  • Price value taken from a market data file. For more information about market data file, seeMarket Data File
  • User name (tag 10001)
MaxOrderRate User Limit User Specifies how many orders User is allowed to send per second.
MaxNetPosition Instrument Limit Account/User Specifies the maximum allowed difference between total open long and open short positions on a given trading day for the whole Account or certain User.
MaxShortPosition Instrument Limit Account/User Specifies the maximum permitted short position amount for certain instrument for the whole Account or certain User.
MaxLongPosition Instrument Limit Account/User Specifies the maximum permitted long position amount for certain instrument for the whole Account or certain User.

Please contact us at sales@btobits.com to obtain free trial version of Pre-Trade Risk Check Module or for any additional information.