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 ReservationEnforcerRiskFirewallRule
About the ReservationEnforcerRiskFirewallRule
The ReservationEnforcerRiskFirewallRule class ensures that orders placed against reservation contracts do not exceed the minimum/maximum quantities set for reserved positions. This rule class implementation tracks both the reservation orders and the orders that are submitted against reservation orders.
Reservation requests and changes to these reservations are implemented as order operations (that is com.apama.oms.New/Amend/CancelOrder requests). Any changes to the size of the reservation are sent as order updates.
This rule class implementation requires access to the risk firewall that it was registered with so that it can use a risk firewall order receiver to
*Monitor reservation orders that are approved by the rest of the risk firewall rule classes.
*Send order updates to the reservation order state back through the risk firewall.
When an order is placed against a reservation the order quantity is subtracted from the reserved position and added to the pending position. If the order subsequently fills then the filled quantity moves from the pending position to the open position. However if the order is canceled or amended downwards then the quantity is moved from the pending position back to the reserved position. For example, suppose a trader has unfilled buy orders with a type of RESERVATION in the market with a total quantity of 1000. The reserved maxQtyPosition is 1000. This is the maximum that the trader's position can change if all reserved buy orders were filled. Conversely, if a trader has unfilled sell orders with a type of RESERVATION in the market with a total quantity of 1000 then there the reserved minQtyPosition is -1000. The ReservationEnforcerRiskFirewallRule class ensures that the reserved maxQtyPosition and minQtyPosition are observed.
Copyright © 2013-2017 Software AG, Darmstadt, Germany. (Innovation Release)

Product LogoContact Support   |   Community   |   Feedback