Risk Limits

Risk Limits

Setting account position limits

To set pre-trade risk limits:

  1. In the Settings section, click Apply Limits to enable limit checking for the account or user.

    Optionally, you can determine whether to apply the same limits to block/cross trades and/or synthetic parent orders.

    Note: If Apply Limits is checked, you must define product or contract limits for each product or contract that the user, parent account or child account is allowed to trade.

  2. In the Limits section, click +Add to create a new risk limit, or select an existing limit in the Limits section.

    If you select an existing limit, you can copy product limits within the selected user's or account's limit tab by clicking the Copy button.

    When creating a new risk limit, select the Exchange, Product Type, Product, and/or Contract in the New Limit window and click Add Limit

    Note:If you do not specify a product, then the limit will be the default limit for all products of the selected product type for the selected exchange. If you do not select a contract, the limit will be the default limit for all contracts for the selected product.

    The product limit settings are displayed.

  3. Set the following risk limits as needed:
    • General

    • The following section appears for an account only, and appears if applying risk limits to all contracts for a product.

      • Max position (net): Limits an account to an overall maximum long or short position per product. For example, if this limit is set to 5, and an account is long 2 GE March contracts and short 4 GE September contracts, then a sell order greater than 3 or a buy order greater than 7 in any contract month would be rejected as it could potentially result in a long or short position greater than 5.
      • Maximum long position per contract: Limits an account to an overall maximum long position per contract for a product.
      • Maximum short position per contract: Limits an account to an overall maximum short position per contract for a product.
      • Maximum long position (gross): Limits the worst case total of long contracts per product. The sum of the long positions plus working buy orders in all contracts cannot exceed this limit. For example, if the Max long position limit is four, and there is a long position of two in one contract and a working buy of two in another contract, then no more buy orders can be placed.
      • Maximum short position (gross): Limits the worst case total of short contracts per product. The sum of the short positions plus working sell orders in all contracts cannot exceed this limit. For example, if the Maximum short position limit is four, and there is a short position of two in one contract and a working sell of two in another contract, then no more sell orders can be placed.
      • Trade out allowed: When enabled, allows the maximum order quantity, maximum long/short position, and credit limits to be exceeded in order to flatten the position in a contract. Can be set for the account.
    • Outrights

    • Note: The following section appears if applying risk limits to a single contract.

      • Trading Allowed: Specifies whether outrights can be traded for the selected contract.
      • Max Position: Limits an account or user to an overall maximum long or short position per contract selected. For example, if this limit is set to 5 for the GE March contract, and an account or user is short 4 GE March contracts, then a sell order greater than 1 would be rejected as it could potentially result in a short position greater than 5.
      • Maximum order quantity: Specifies a limit on the maximum individual order size that can be entered for the contract. This setting overrides the max order qty setting that might exist at the product or exchange level.
      • Price reasonability: Determines how far from the market price a user may enter an order (in ticks) for the contract. If you only want to enforce this setting for buy orders above the limit and sell orders below the market, check the Aggressive only option. This setting overrides the price reasonability setting that might exist at the product or exchange level.
    • Outrights

    • Note: The following section appears if applying risk limits to all contracts for a product.

      • Trading Allowed: Specifies whether outrights can be traded for the selected product (e.g., the Future, Option, Stock, Bond, or Energy product). If you plan to restrict trading in this product but allow trading for specific contracts for this product, leave this option unchecked.
      • Maximum order quantity: Specifies a limit on the maximum individual order size that can be entered for the outrights of a spread or strategy for a particular product, product type, or contract.
      • Applied margin %: Specifies a percentage above or below the margin that a trader must have to trade the product. In other words, applied margin increases or decreases the margin requirement when calculating risk limits. Setting this to zero removes margin requirements for this product/contract.
      • Price reasonability: Determines how far from the market price a user may enter an order (in ticks) for the outright. If you only want to enforce this setting for buy orders above the limit and sell orders below the market, check the Aggressive only option.
    • Spreads/Strategies

      • Trading Allowed: Specifies whether spreads and strategies for the product can be traded. If you plan to restrict trading in this product but allow trading for specific contracts for this product, leave this option unchecked.
      • Maximum order quantity: Specifies a limit on the maximum individual order size that can be entered for the spread/strategy for a particular product, product type, or contract.
      • Applied margin (%): Specifies a percentage above or below the margin that a trader must have to trade the spread/strategy. In other words, applied margin increases or decreases the margin requirement when calculating risk limits. Setting this to zero removes margin requirements for this product/contract.
      • Price reasonability: Determines how far from the market price a user may enter an order (in ticks) for the spread/strategy. If you only want to enforce this setting for buy orders above the limit and sell orders below the market, check the Aggressive only option.
    • Inter-product spread/strategies

      • Trading Allowed: Specifies whether the selected interproduct spreads or strategies can be traded.
      • Maximum order quantity: Specifies a limit on the maximum individual order size that can be entered for the interproduct spread or strategy. This setting overrides the maximum order quantity setting that might exist at the product or exchange level.
      • Price reasonability: Determines how far from the market price a user may enter an order (in ticks) for the contract. If you only want to enforce this setting for buy orders above the limit and sell orders below the market, check the Aggressive only option. This setting overrides the price reasonability setting that might exist at the product or exchange level.
      • Reject orders when there is no market data: To reject orders when there is no market data regardless of whether or not the market is in a matching or non-matching state, check this option. By default, orders are allowed when there is no market data.
  4. Click Save Changes
  5. To remove a user's or account's product limit, select the limit in the Limits section and click Remove.