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Fat-Finger Checks

Submission Rate

The submission rate counter measures the number of risk carrying messages in a rolling window. The restraint placed on it is intended to act as a runaway-algo check.

Risk carrying messages include the following outbound messages:

• NewOrderSingle (taker),
• NewOrderList (taker),
• NewOrderMultiLeg (taker),
• QuoteResponse (taker, only when accepting),
• OrderCancelReplace (taker, only when increasing quantity),
• ExecutionReport (maker, only when accepting)
• ExecutionAcknowledgement (maker, only when accepting)

Rejected risk-carrying orders still increment the count.
Messages that cancel orders are not considered risk-carrying.

Live Order Count Limit

A live order count is maintained and constrained to a live order count limit.

Single Order Limit

The absolute values of both buy and sell outlays are multiplied by their respective conversion rates to USD, then averaged.

Tranched Limits

Pending Limit

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