Apama Capital Markets Foundation Documentation : Release Notes : What's New in Capital Markets Foundation 5.1.1 : New risk firewall features
New risk firewall features
The risk firewall introduced in CMF 5.1 provides the following enhancements in CMF 5.1.1:
*New default rule classes
*Order operation ratio — Ensures that the number of amend order operations and/or cancel order operations in a specified time window do not exceed the allowed number of amend/cancel operations as defined by the specified ratio between amend/cancel order operations and new orders.
*Order to trade ratio — Ensures that the number of order operations (new, amend, cancel) in a specified time window do not exceed the allowed number of operations as defined by the specified ratio between order operations and trades.
*Reservation enforcer — Ensures that orders placed against reservation contracts do not exceed the minimum/maximum quantities set for reserved positions.
CMF samples for the default risk firewall rule classes have been updated to show the use of the new rules. See Risk Firewall Rules Samples in the samples directory of your CMF installation directory.
*DataViews are exposed
*RiskFirewallDataview — For each risk firewall that has been created in this correlator, this DataView contains the name of the risk firewall, a string representation of the risk firewall parameters object, and whether or not the risk firewall is locked.
*FirewallRuleDefinitionDataview — For all rules registered with all risk firewalls in this correlator, this DataView contains the name of the risk firewall, the name and description of the rule class, a string representation of the parameter schema for the rule class and the priority of the rule class.
*AllRuleClassInstance — This DataView is exposed by the MemoryStore table that contains entries for all rule class instances for all risk firewalls in this correlator. This DataView contains the name of the risk firewall, the name of the rule class, the ID of the rule instance and a string representation of the rule instance's configuration.
*OrderOperationCache — This DataView is exposed by the MemoryStore table that contains entries for the order operation cache, which contains information for each failed order operation that has gone through any risk firewall in this correlator. This DataView contains extensive details for each failed order operation. The entries in the order operation cache, and hence in the MemoryStore table, are recovered upon correlator re-start and can be automatically purged according to the settings of the new risk firewall configuration parameters listed in the next item.
*New risk firewall configuration parameters to be set in the factory before creating the risk firewall:
*ORDER_OPERATION_CACHE_TIMEOUT — Specifies the number of seconds that a row can be in the order operation cache before it is eligible to be purged.
*ORDER_OPERATION_CACHE_PURGE_INTERVAL — Specifies the number of seconds between automatic purges of the cache.
*ORDER_OPERATION_CACHE_PURGE_TIME — Specifies a time of day for automatic purging of the cache.
*ORDER_OPERATION_CACHE_MAX_ROWS — Specifies the maximum number of rows that can be removed in one purge operation.
*ORDER_OPERATION_CACHE_PATH_DEFAULT — Specifies the default file and path for the tables in the order operation store.
*ORDER_OPERATION_CACHE_PATH_KEY — Specifies the configuration key value for setting the risk firewall default file and path for the tables in the order operation store.
The order operation cache can get very large. Be sure to either set parameters to enable automatic purging or manually remove rows from the order operation cache by invoking the com.apama.firewall.RiskFirewall.clearObjection() action, which is new in this release.
*New configuration parameters for the default order throttle rule class:
*REJECT_NEW_PARAMETER — Indicates whether this risk firewall rule instance should reject NewOrder objects if the throttle limit has been reached.
*REJECT_AMEND_PARAMETER — Indicates whether this risk firewall rule instance should reject AmendOrder objects if the throttle limit has been reached.
*REJECT_CANCEL_PARAMETER — Indicates whether this risk firewall rule instance should reject CancelOrder objects if the throttle limit has been reached.
*REJECT_NEW_DEFAULT — Default value for whether this risk firewall rule instance should reject NewOrder objects is the throttle limit has been reached. By default, this is true, which means that new order requests are rejected if the throttle limit has been reached.
*REJECT_AMEND_DEFAULT — Default value for whether this risk firewall rule instance should reject AmenOrder objects if the throttle limit has been reached. By default, this is false, which means that amend order requests are allowed even if the throttle limit has been reached.
*REJECT_CANCEL_DEFAULT — Default value for whether this risk firewall rule instance should reject CancelOrder objects if the throttle limit has been reached. By default, this is false, which means that cancel order requests are allowed even after the throttle limit has been reached.
Also, the Algorithmic Trading Accelerator has been updated to use the new risk firewall. It no longer uses the legacy risk firewall.
Copyright © 2013-2017 Software AG, Darmstadt, Germany. (Innovation Release)

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