This feature is available to preview in the UAT environment. It will be available in the production environment in the near future.
By considering various combinations of filled positions along with working orders, TT will determine the worst-case margin applicable to an account and will reserve the correct amount of capital from the accounts credit.
Each new order is checked as part of the portfolio calculation during pre-trade risk and if it is determined that the order has the potential to exceed the allowed credit it will automatically be rejected.
The rejection message includes details including the calculated margin requirement, the available balance on the account, and the type of portfolio check which exceeded the worst-case margin.
Example:TT pre-trade risk rejection: Credit required for this order (25000) exceeds account (JSmith) Span Credit Limit (22500) Type BUY
Margin requirements in different currencies are first converted into the currency set on the Account and then compared to the allowed credit limit.
Pre-Trade Portfolio Risk integrates with other markets on TT that do not yet support the service. If a trader is accessing a variety of different exchanges whereby some support the service and others do not, the margin requirements for all markets will be added together and checked against the account's credit.
Trade Out logic used in TT Pre-Trade Portfolio Risk differs from the traditional logic - Credit forms an integral part of the Trade Out calculation.
Instead of simply considering the open position and allowing any order which reduces that position; Pre-Trade Portfolio Risk will make a calculation to check the resulting worst-case Initial Margin & Options Premium will not exceed the allowed credit limit.
Example:A trader has $1,000 credit and is long 2 E-mini S&P 500 Futures Calendar spreads.
The Initial Margin requirement for this position is $440.
If the trader attempts to enter an order to Buy 2 x ES Dec24 with a view to flatten the existing short position in this contract.
Although the incoming Buy order is reducing the traders existing position in ES Dec24; the resulting Initial Margin requirement will be in excess of the traders credit.
The worst-case scenario is where the trader is filled on the Buy orders which would see an outright long position remaining.
The Initial Margin Requirement for this position is $30,360.
As the trader has a credit limit of $1000, the Buy order in ES Dec24 will be rejected.
In cases where an Account has exceeded its allowed credit limit, the Trade Out logic used in Pre-Trade Portfolio Risk will allow orders where the resulting Initial Margin & Options Premium is equal to or less than the current amount and the new order does not cause an increase to the credit requirement.