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This is similar to the Single Order Limit, except this is a summation over all unfilled portions of all orders:


LaTeX Unitmathinline
bodyPendingValue = \frac{1}{2} \sum_{c \in currency} ( buying_c + selling_c ) * ExchangeRate_c

Per-Currency Exposure Limits

A vector of exposure limits, each applying to a single currency, expressed in that currency:

LaTeX Math Inline
body max ( buying_c + bought_c - sold_c, selling_c + sold_c - bought_c )


Info

By default, this option is disabled, and the trader is allowed to accumulate any position in any currency, provided that they do not violate other limits.

If enabled, then currency limits become mandatory: traders will not be able to trade in a given currency without a limit.


Currency Basket Exposure Limits

A currency basket is an ordered 3-tuple of (name, limit value, currency set).
Each risk can define up to 16 currency baskets.
The set of currency sets defined under one risk pool must be pairwise distinct (e.g.: no currency can appear in more than one basket under the same risk pool).

LaTeX Math Inline
bodyBasketValue_n = \sum_{c \in Basket_n} max ( buying_c + bought_c - sold_c, selling_c + sold_c - bought_c ) * ExchangeRate_c * Volatility_c




Info
By default, this option is disabled, and the trader is allowed to accumulate any position in any currency basket, provided that they do not violate other limits.
If enabled, then currency basket limits become mandatory: traders will not be able to trade in currencies that do not belong to a basket.

Daily Settlement Limit


Credit Limits

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