Constant Name of Input Parameter | Description |
RULE_CLASS_NAME | Rule class name, which is "OrderToTradeRatioLimitRiskFirewallRule". |
OBJECTION_LIMIT_PARAMETER | Specifies the allowed ratio of new/amend/cancel orders to order executions, which determines the number of order operations (new/amend/cancel) that can be requested before the rule rejects the operation request. You must set a value for this parameter. For example, suppose you set this parameter to 5. If there are 3 order executions in a 30 second window then the ratio is 15:3. This rule would allow up to 15 new/amend/cancel operations until another order execution is received or the time window expires. |
OBJECTION_LIMIT_DEFAULT | Default value for the objection limit, which is 0 by default. |
WARNING_LIMIT_PARAMETER | Specifies the allowed ratio of new/amend/cancel orders to order executions before the risk firewall issues a warning when it allows a new/amend/cancel operation. |
WARNING_LIMIT_DEFAULT | Default value for the warning limit, which is 0 by default. |
TIME_WINDOW_PARAMETER | Number of seconds in the rolling time window. |
TIME_WINDOW_DEFAULT | Default number of seconds in the rolling time window, which is 30.0 by default. |
CHECK_NEW_PARAMETER | Indicates whether this risk firewall rule instance should apply to NewOrder objects. |
CHECK_NEW_DEFAULT | Default value for whether this risk firewall rule instance should apply to NewOrder objects. By default, new order requests are counted as part of the total number of requests allowed within the specified time window. |
CHECK_AMEND_PARAMETER | Indicates whether this risk firewall rule instance should apply to AmendOrder objects. |
CHECK_AMEND_DEFAULT | Default value for whether this risk firewall rule instance should apply to AmendOrder objects. By default, amend order requests are counted as part of the total number of requests allowed within the specified time window. |
CHECK_CANCEL_PARAMETER | Indicates whether this risk firewall rule instance should apply to CancelOrder objects. |
CHECK_CANCEL_DEFAULT | Default value for whether this risk firewall rule instance should apply to CancelOrder objects. By default, cancel order requests are counted as part of the total number of requests allowed within the specified time window. |
Constant Name of Output Parameter | Description |
TRADE_OPS_PER_WIN_OUTPUT | Number of trade operations in the current time window. |
ORDER_OPS_PER_WIN_OUTPUT | Number of order operations in the current time window. |