The Lab

Expand all   Collapse all

Versions Compared

Old Version 10

changes.mady.by.user Matthew Whitaker

Saved on

compared with

New Version 11

changes.mady.by.user Matthew Whitaker

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

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

If ZEBRA_DSL is defined, then daily positions are kept. DSL uses whichever position tracking type is chosen for NOP.

Credit Limits

Net Open Position

Reflector uses the following terms to quantify NOP: Downside, Upside, Exposure, Displacement.

Downside Limit

An upper bound on how much the trader can lose.
This limit first assumes that the upside of every pending trade is gone but the downside remains.
Then, it assumes that all the credited currencies are gone while the debited currencies remain.


LaTeX Math Inline
bodyDownsideValue = \sum_{c \in currency} max ( 0, selling_c + sold_c - bought_c ) * ExchangeRate_c * Volatility_c


Upside Limit

An upper bound on how much the trader can make.
This limit first assumes that the downside of every pending trade is gone but the upside remains.
Then, it assumes that all the debited currencies are gone while the credited currencies remain.


LaTeX Math Inline
bodyUpsideValue = \sum_{c \in currency} max ( 0, buying_c + bought_c - sold_c ) * ExchangeRate_c * Volatility_c

Exposure Limit

This formula nominates one currency (usually USD) as a risk-free asset, then considers positions in all other currencies as risk carrying, pursuant to their absolute value, then scaled by the exchange rate & volatility.


LaTeX Math Inline
bodyExposureValue = \sum_{\substack{c \in currency \\ c \neq USD}} max ( buying_c + bought_c - sold_c, selling_c + sold_c - bought_c ) * ExchangeRate_c * Volatility_c

Displacement Limit

This formula is very similar to the Exposure Limit formula.
In the exposure formula, the upside and downside are reconciled per currency, then summed up. In this formula, they are summed up independently, then reconciled.

LaTeX Math Inline
bodyDisplacementValue = max ( DownsideValue, UpsideValue )

Risk Modes

Reflector has four different risk modes as itemised below (ordered in increasing constriction):

...