Apama Capital Markets Foundation Documentation : Capital Markets Foundation : Order Management : Risk firewall : Setting up risk firewall evaluation rules : Descriptions of default rule classes : About the OrderThrottleLimitRiskFirewallRule
About the OrderThrottleLimitRiskFirewallRule
The OrderThrottleLimitRiskFirewallRule stops more than a specified number of order operations (new, amend, cancel) within a specified rolling time window (30 seconds by default).
Any order operations that exceed the specified number allowed will be rejected by this risk firewall rule. The order operation types to be checked are configurable when the risk firewall rule instance is created. By default, all order operations (new, amend, and cancel) are counted, but each of these types can be included/excluded in the throttle count.
The com.apama.firewall.rules.OrderThrottleLimitRiskFirewallConsts object defines the constants for the configuration settings for the order throttle limit rule class, as well as their default values. You should use these constants rather than specific values in order to ensure compatibility.
Constant Name of Input Parameter
Description
RULE_CLASS_NAME
The name of the rule class, which is "OrderThrottleLimitRiskFirewallRule".
OBJECTION_LIMIT_PARAMETER
Objection limits. The maximum number of order management requests (which may include amend order and cancel order requests) that may be requested over the specified time window, after which the rule class rejects order management requests.
OBJECTION_LIMIT_DEFAULT
Default value for objection limits, which is 0 by default.
WARNING_LIMIT_PARAMETER
Warning limits. The maximum number of order management requests (which may include amend order and cancel order requests) that may be requested over the specified time window, after which the rule class issues a warning for subsequent order management requests.
WARNING_LIMIT_DEFAULT
Default value for warning limits, which 0 by default.
TIME_WINDOW_PARAMETER_
Time window to be used ( in seconds).
TIME_WINDOW_DEFAULT
Default time window to be used, which is 30.0 seconds by default.
CHECK_NEW_PARAMETER
Indicates whether this risk firewall rule instance should apply to NewOrder objects.
CHECK_NEW_DEFAULT
Default value for whether this risk firewall rule instance should apply to NewOrder objects. By default, new order requests are counted as part of the total number of requests allowed within the specified time window.
CHECK_AMEND_PARAMETER
Indicates whether this risk firewall rule instance should apply to AmendOrder objects.
CHECK_AMEND_DEFAULT
Default value for whether this risk firewall rule instance should apply to AmendOrder objects. By default, this is false, which means that amend order requests are not counted as part of the total number of requests allowed within the specified time window.
CHECK_CANCEL_PARAMETER
Indicates whether this risk firewall rule instance should apply to CancelOrder objects.
CHECK_CANCEL_DEFAULT
Default value for whether this risk firewall rule instance should apply to CancelOrder objects. By default, this is false, which means that cancel order requests are not counted as part of the total number of requests allowed within the specified time window.
REJECT_NEW_PARAMETER
Indicates whether this risk firewall rule instance should reject NewOrder objects if the throttle limit has been reached.
REJECT_NEW_DEFAULT
Default value for whether this risk firewall rule instance should reject NewOrder objects if the throttle limit has been reached. By default, this is true, which means that new order requests are rejected if the throttle limit is reached.
REJECT_AMEND_PARAMETER
Indicates whether this risk firewall rule instance should reject AmendOrder objects if the throttle limit has been reached.
REJECT_AMEND_DEFAULT
Default value for whether this risk firewall rule instance should reject AmendOrder objects if the throttle limit has been reached. By default, this is false, which means that amend order requests are allowed even if the throttle limit has been reached.
REJECT_CANCEL_PARAMETER
Indicates whether this risk firewall rule instance should reject CancelOrder objects if the throttle limit has been reached.
REJECT_CANCEL_DEFAULT
Default value for whether this risk firewall rule instance should reject CancelOrder objects if the throttle limit has been reached. By default, this is false, which means that cancel order requests are allowed even if the throttle limit has been reached.
ORDER_OPS_PER_WIN_OUTPUT
Output parameter that defines the current number of order operations within the current time window.
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