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

FIX-based Pre-Trade Risk Check Module

Features

  • Ensures that traders operate according to pre-trade limits specified by a risk administrator
  • Demonstrates 4 microsecond latency on Linux using Solarflare OpenOnload stack when running Risk Check Module on the same machine, using localhost sockets
  • FIX protocol based communication layer between Trader's Order Entry System and trading platform
  • The following message types are supported:

  • Provides ability to restrict activities of one or multiple traders at the same time

  • All pre-trade risk checks are performed with minimal latency impact
  • Configurable Account- and User-level risk limits. User level allows determining additional risk limits for a user working with a certain account
  • Easy customization of predefined risk limits to match business needs at any level
  • RCM Manager UI enabling easy risk limits configuration and monitoring
  • Ability to load market data (Bid and Ask prices) for each supported instrument from a file.

Workflow description

  • Client submits Orders, Cancellations, and Modifications to a Pre-Trade Risk Check module via FIX protocol. 
  • Once receives a new order from the client, a Pre-Trade Risk Check module performs risk control. If the order passes risk checks, it is forwarded to the exchange for execution.
  • Orders that have not passed the risk checks are rejected and sent back to clients. When a user is about to reach (or reaches) her/his limits, corresponding alerts are shown in the Monitoring GUI.
  • Pre-Trade Risk Check module performs validation against a pre-configured set of rules. Parameters for risk checks (limits) are set via a 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 via external process.
  • 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 the user level take precedence over limits set on the account level, and thus override them. The "override" means that the risk check module will check limits at the user level and will ignore the account level. Limits that are not set at the user level will be copied from respective limits set at the account level. The configuration of pre-trade risk limits is stored in a file that can be modified directly or via the RCM Manager.

Pre-Trade Risk Limits

Risk Checks description

Risk Check Limit Type  Level
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 a particular user
MaxDailyLoss Account/User Limit Account/User
Specifies maximum amount of daily loss for the whole account or a particular user.
DuplicateOrderThrottle User Limit User

Specifies how many duplicate orders a user is permitted to send per second. Two orders are considered to be duplicates 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 files, seeMarket Data File
  • User name (tag 10001)
MaxOrderRate User Limit User
Specifies how many orders a 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 a certain user.
MaxShortPosition Instrument Limit Account/User
Specifies the maximum permitted short position amount for a certain instrument, whole Account, or a certain User.
MaxLongPosition Instrument Limit Account/User
Specifies the maximum permitted long position amount for a certain instrument, whole account, or a certain user.

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

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Documentation

Pre-Trade Risk Check Module User Manual