Trading Risk Control Gateway

The risk limits component offers many types of predefined risk checks and also allows customers
to configure their own rules for how certain risk levels are calculated.

Risk checks configuration

Risk checks can be configured for various custom-defined categories. For example, one can define certain risk check rules for portfolio, strategy, account or global positions.

Hard Limit by Target Price

When this rule is active the system ensures that no child order can be placed into the market with a price worse than the limit price of its parent order.

Flexible customization

Allows you to configure the risk limit type, the limit unit, the currency and the percentage of the risk limit level at which the system gives a warning about approaching the risk limit.

Risk Control

User Scope:

System administrators can configure risk limit checks to apply to a specific user, group of users or all users.

Instrument Scope:

Risk limit rules can be assigned to specific instruments, all instruments or any instrument within specified Category.

Risk Limit Type:
Long Position

Start-of-day and intraday buys

Short Position

Start-of-day and intraday buys

Net Position

Start-of-day and intraday buys minus sells

Gross Position

Start-of-day and intraday buys plus sells

Intraday Long Position

Intraday buys

Intraday Short Position

Intraday sells

Intraday Gross Position

Intraday buys minus sells

Open Gross Position

Open buys plus sells

Single Order Size

Checks the size of the order being send

Single Order Liquidity (% ADV)

Checks the size of the order against
percentage of the instrument ADV

Single Order Price Away

Validates order limit price against some reference price.

Interval Order Size

Ensures the total amount traded over a specific interval does not exceed a pre-set level

Interval Order Count Size

Ensures the total number of orders sent over a specific time interval does not exceed a pre-set level

Order Count

Ensures the total number of orders sent
does not exceed a pre-set level

Open Long Position

Open buys

Intraday Short Position

Open sells

Open Net Position

Open buys minus sells

Open Long Position

Open buys

Intraday Short Position

Open sells

Open Net Position

Open buys minus sells

Limit Unit:
An administrator can use various methods for risk check calculations.

Quantity

implies that calculation is done based on shares or contracts. For example, Open Long Position may not exceed 1,000,000 shares

Value

implies that calculation is done based on the notional value. For example, Open Short Position cannot exceed 10,000,000 USD

Price Away checks
  • Percentage – order size check against ADV
  • Absolute, Bps, Percentage of Spread, Percentage of Price or Tick – units for Single Order
  • Price Away checks
Broker Desk and Algo vs. Direct Market Access:

InfoReach detects when trader attempts to send large market orders to the open markets rather to the broker’s desks or algorithms and warns traders of the potential risk

Warning Threshold %:

Percentage of the risk limit level at which the system issues a warning about approaching the risk limit.

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