Apama Capital Markets Foundation Documentation : Capital Markets Foundation : Order Management : Risk firewall : Understanding risk firewalls : Slice filters for risk firewall rules
Slice filters for risk firewall rules
Rule classes can identify order fields of interest using a concept known as slicing, that is, splitting a stream of events into sub-streams along several dimensions. Rule class slices can use the following dimensions:
*Service identifier
*Exchange identifier
*Market identifier
*Owner (trader) identifier
*Extra parameters
A slice can match a set of values in each dimension, or all values. Examples of slices that can be specified include:
*Symbol EUR/USD, for example, to ensure that the organization-wide net order position for this instrument does not exceed a given value.
*Service identifier FIX and market identifier CNX, for example, to ensure that the total quantity of orders from all traders across all symbols on a single market does not exceed a specified level.
*Symbol EUR/USD, Service identifier FIX, market identifier CNX and trader identifier A or B, for example, to ensure that the net position of this group of two traders for the EUR/USD instrument on a single market is within specified limits.
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