Risk Limit Descriptions


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Trader Permissions

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These parameters are keyed on User, Exchange, Security

Trading State
1 for yes, 0 for no
Max Order Size
Largest size order accepted
Max Order Price
Largest limit order price accepted
Max Orders Per Second
Maximum number of orders the system will accept in one second
Max Better Bid
Maximum amount a buy order can better the current bid
Max Better Ask
Maximum amount a sell order can better the current ask

Account Permissions:

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These parameters are keyed on BTS internal accounts like SP, ND, ED. BTS Internal accounts are an analog to CME Combined Commodities

Multiplier
Cash Value Multiplier used to normalize contract amounts over different securities. Default value is 50, so 15 100 dollar contracts count as 30 towards working order and total contract limits.
Total Long future Contracts Cap
Maximum LONG futures allowed in account position
Total Long Option Contracts Cap
Maximum LONG options allowed in account position
Total Short Future Contracts Cap
Maximum SHORT futures allowed in account position
Total Short Option Contracts Cap
Maximum SHORT options allowed in account position
Total Option Premium Cap
Maximum allowed total long or short option premium, in dollars.

Span Permissions:

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These parameters applicable to the BTS live SPAN margining system.

Leverage Factor
This parameter is used to increase or decrease leverage on the initial balance of the account.
Balance Adjustment
This parameter is used to increase or decrease the dollar amount of available margin for an account.

Electronic Eye Permissions:

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Contracts Limit
The number of contracts that are allowed to be sent within the contracts limit time period
Contracts Limit Time
A time period defined in seconds
Max Order Size
Maximum number of contracts sent on any single order

Quoter Limits:

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Max Quoted Contracts
The maximum number of contracts that be quoted at any given time
Max Quote Size
The maximum size for any individual quote

Hedger Limits:

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Contracts Limit
The number of contracts that are allowed to be sent within the contracts limit time period
Contracts Limit Time
A time period defined in seconds
Max Order Size
Maximum number of contracts sent on any single order

Engine Settings

Electronic Eye:

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Underlier Gap
The Engine will turn off if the underlying future changes by more than the this value
Theo gap
The Engine will turn off if the Theo changes by more than the this value
Fills per time period limits
These will turn the engine off if too many fills happen in a specified time period

Quoter:

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Gate Quotes by BBO
If set this setting will cause the quoter to join the market rather than improve upon it. In other words, the quoter will never lead the market. Optionally the quoter can require a minimum size (min gate size). If this minimum size is not met the quoter will not produce quotes for the specific security.
Turn off if Quotes Improve by
If this safety is set the quoter will shutdown if it detects a parameter change that improves on quote values by the specified amount. The aim of this safety is to prevent erroneous parameter changes (i.e. "fat finger" changes) from resulting in bad quotes.
Turn off if Underlier moves by
If this safety is set the quoter will monitor underlier price gaps and shutdown if they occur.
Turn off is Bid is within $ of Ask
If this safety is set the quoter will monitor the quote bid/ask spread and shutdown if it's smaller than the specified value.
Turn off if Underlier size drops below
If this safety is set the quoter will monitor the size available for the underlier and shutdown if it drops below the specified value.
Fill protections
If any of these are set the quoter will shutdown if the specified fill condition occurs.

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