The FIXEdge server accompanied by Pre-Trade Risk module allows
combining the message routing and transformation functionality with
a check of pre-trade risk
rules . The diagram below represents the typical use
case of routing messages from a trading application to an exchange
via a FIX server:
Workflow description
Client submits orders, cancellations, and modifications to
FIXEdge via the FIX protocol or other available integration interfaces . The target exchange can be specified
by clients or determined by FIXEdge according to
routing rules (configured or scripted).
Before sending any message to an exchange, FIXEdge forwards it
to the Pre-Trade Risk Check module for risk control. If the order
passes risk checks, it is forwarded to the destination exchange
through the same FIXEdge instance (or through another FIXEdge
instance, if a separate, exchange-faced instance of FIXEdge is
used). Orders are sent to exchanges over FIX or supported proprietary
protocols.
Orders that have not passed the risk checks are rejected back
to clients through FIXEdge. When a user is about to reach (reaches)
her/his limits, corresponding alerts are shown in the Monitoring
GUI.
The Pre-Trade Risk Check module performs validation against
pre-configured set of rules. Parameters for risk checks (limits)
are set via the Configuration UI and are stored in a plain text
file.
Checks requiring market data (prices) take it from the file.
Data in the file can be populated and updated at the start of the
day and intraday by external process.