Descriptions of default rule classes

Rule Class	Description
Client credit limit	Ensures that the net cash open and pending position accumulated based on a specified slice has not been breached. Currency normalization is not supported.
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 price limit	Ensures that the price of an order does not fall outside a specified price range.
Order quantity limit	Ensures that the quantity of an order does not fall outside a specified range.
Order throttle limit	Prevents more than a specified number of new orders, amendments and/or cancellations from being placed within a specified time period.
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.
Order value limit	Ensures that the value (price * quantity) of an order does not fall outside a specified range.
Position limit	Ensures that the net quantity open and pending position of an order does not fall outside a specified quantity range.
Reservation enforcer	Ensures that orders placed against reservation contracts do not exceed the minimum/maximum quantities set for reserved positions.

The default rule classes are in the com.apama.firewall.rules package. Each default rule class has an associated event that defines the configuration parameters for that rule class. See Adding rule instances to rule classes. In addition, for each default rule class, you can specify the following configuration parameters for each rule class instance that you add to a risk firewall.

Parameter	Type	Defines a set of ... that will be used as a slice for the specific rule class instance being added or modified
SLICE_SYMBOL	sequence <string>	Symbols
SLICE_SERVICEID	sequence <string>	Service identifiers
SLICE_MARKETID	sequence <string>	Market identifiers
SLICE_EXCHANGEID	sequence <string>	Exchange identifiers
SLICE_TRADERID	sequence <string>	Trader identifiers
SLICE_EXTRAPARAM	dictionary<string, sequence<string> >	Extra parameters

The source code for the default rule classes is provided as samples that you can use to develop custom rule classes that are based on the default rule classes. You can find the source code in the samples\Risk Firewall Rules Sample folder of your CMF installation folder. Note that in the sample, the package names have been changed so that they do not conflict with the actual default implementation.