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 OrderValueLimitRiskFirewallRule
About the OrderValueLimitRiskFirewallRule
The OrderValueLimitRiskFirewallRule checks the order value (price * quantity) of any new order, or amendment to an order, and approves that order if the value is equal to or less than the price provided in the rule instance input parameters.
This risk firewall rule implementation is not appropriate for market orders. This is because market orders inherently have a price of zero when they are placed and this rule class implementation relies on the order price being available when an order is placed against it. Therefore, this rule does not operate as expected for market orders since it approves any market order.
The com.apama.firewall.rules.OrderValueLimitRiskFirewallConsts object defines the constants for the configuration settings for the order value 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
The name of the rule class, which is "OrderValueLimitRiskFirewallRule".
Objection limit. The maximum value (price * quantity) an order may request before the rule class rejects the order.
Objection limit default value, which is 0 by default.
Warning limit. The maximum value (price * quantity) an order may request before the rule class issues a warning for the order.
Warning limit default value.
Copyright © 2013-2017 Software AG, Darmstadt, Germany. (Innovation Release)

Product LogoContact Support   |   Community   |   Feedback