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.
Features
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.
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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