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User groups, represented by TRADER in this diagram, contain only credentials and represent the most granular division of risk available in Reflector. Individual credential entries do not keep their own positions.


Gliffy Diagram
displayNameRiskPoolHierarchy
nameRiskPoolHierarchy
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TODO DIAGRAM

Position Model

Inside a risk pool, position is stored as an array of arrays.

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A position p is an aggregation of outlays of both open and filled portions of orders made by a set of traders.
A formula f is a mapping from positions to non-negative real numbers. f must be convex.
A limit l is an ordered pair of (f, v) where f is a formula and v is a non-negative real number.
A Position p is said to be in violation of limit l under formula f if and only if f(p) > v.

Volatility

Volatility is essentially an additional and independent multiplier that is applied per-currency to allow Risk managers to treat certain currencies as particularly more or less risky than others.

Valid volatility values range from 0.01 to 100.00, inclusive.
All volatility values default to 1.00, and the USD (Reserve Currency) volatility is currently fixed at a baseline of 1.00
Each risk pool can define its own set of volatility values.

Limits

Limits may be categorized as follows:

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

Per-Currency Exposure Limits

A vector of exposure limits, each applying to a single currency, expressed in that currency. This limit can be expressed in either its native currency or in USD (the Reserve Currency), based on a global setting that is loaded at startup:

LaTeX Math Inline
bodyNativeCcyExposureValue_c = max ( buying_c + bought_c - sold_c, selling_c + sold_c - bought_c ) \\ ReserveCurrencyExposureValue_c = NativeCcyExposureValue_c * ExchangeRate_c * Volatility_c


Two levels of enforcement are offered: nothing or everything.

Info

By default, this option is disabled, and  per-currency exposure limits are not enforced; meaning the trader is allowed to accumulate any position in any currency, provided that they do not violate other limits.

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

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