NOP calculation document: Software Limit Monitor

The  MarketFactory  Limit  Monitor  is  a  pre-trade  risk  monitoring  and  control  tool.  Administrators  can dynamically adjust and manage trading position limits without service interruptions to anyone.

Position Monitoring

The Limit Monitor runs as a process on the MarketFactory server at the trading gateway:

• Aged trades are read on initialization from a dedicated user database.
• Live orders are checked against limits before they are sent to the venue.
• Trading entities, both API or GUI can be grouped arbitrarily.
• Limits are granted and computed from top down.
• Limit granularity can range from rm level to individual markets (currency pair) on venues.
• Limits can be netted across venues.
• Control limits through a secure web portal or an administrator API.
• Positions can be cleared or adjusted through the same mechanisms.

Trading Behavior

The MarketFactory NOP component is a natural place to put additional procedures:

• Order Submission Throttling:  Maximum number of orders submitted per seconds.
• Maximum amount of outstanding orders measured in base currency.
• Maximum individual order size in base currency equivalent
• How is it implemented?
• Benefits to customers...
• available only to existing customers?
• in the process of depreciation?
• To be superseded by new software limit monitor technology... Reflector