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:
Symbol
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.
