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 OrderToTradeRatioLimitRiskFirewallRule
About the OrderToTradeRatioLimitRiskFirewallRule
The OrderToTradeRatioLimitRiskFirewallRule ensures that the number of order operations (new, amend, cancel) in a specified time window (30 seconds by default) does not exceed the allowed number of operations as defined by the specified ratio between order operations and trades. Order operation types to be checked are configurable when the firewall rule instance is created. By default, all order operations are checked.
The com.apama.firewall.rules.OrderToTradeRatioLimitRiskFirewallConsts object defines the constants for the configuration settings for the order to trade ratio 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
Rule class name, which is "OrderToTradeRatioLimitRiskFirewallRule".
OBJECTION_LIMIT_PARAMETER
Specifies the allowed ratio of new/amend/cancel orders to order executions, which determines the number of order operations (new/amend/cancel) that can be requested before the rule rejects the operation request. You must set a value for this parameter.
For example, suppose you set this parameter to 5. If there are 3 order executions in a 30 second window then the ratio is 15:3. This rule would allow up to 15 new/amend/cancel operations until another order execution is received or the time window expires.
OBJECTION_LIMIT_DEFAULT
Default value for the objection limit, which is 0 by default.
WARNING_LIMIT_PARAMETER
Specifies the allowed ratio of new/amend/cancel orders to order executions before the risk firewall issues a warning when it allows a new/amend/cancel operation.
WARNING_LIMIT_DEFAULT
Default value for the warning limit, which is 0 by default.
TIME_WINDOW_PARAMETER
Number of seconds in the rolling time window.
TIME_WINDOW_DEFAULT
Default number of seconds in the rolling time window, which is 30.0 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, amend order requests are 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, cancel order requests are counted as part of the total number of requests allowed within the specified time window.
The following table provides information about order to trade ratio limit rule class state information parameters. The risk firewall uses these constants as part of the state returned in the com.apama.firewall.InstanceInfo object when you call the com.apama.firewall.RiskFirewall.getRulexxxInfo() set of actions.
Constant Name of Output Parameter
Description
TRADE_OPS_PER_WIN_OUTPUT
Number of trade operations in the current time window.
ORDER_OPS_PER_WIN_OUTPUT
Number of order operations in the current time window.
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