Buy-side and sell-side firms across Asia-Pacific need to adapt to an ever-changing internal and external business and regulatory landscape. Raptor supports a full set of industry-standard risk filters, including:

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Order Validations

• Market (valid destination)

• Security ID (valid symbology and security)

• Round Tick (market- and configuration-dependent price check)

• Round Lot (market- and configuration-dependent quality check)

• Side (market- and configuration-dependent, e.g. no short-sell-exempt)

• Order Type (market- and configuration-dependent)

• Time In Force (market-and configuration-dependent)

• Order Restrictions (market-and configuration-dependent)

• Order Capacity (market- and configuration-dependent)

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Per-Order Risk Filters

(Global, Client and Account specific)

 

• Max Quantity (shares, contracts or units - global and per-security)

• Max Lots (same as above, but expressed in lots)

• Max Notional Value (global and per-security)

• Max % of Average Daily Volume (per-security)

• Max % of Outstanding Shares (per-security)

• Price Range as % (reject limit orders with a price outside range of a reference price, such as last traded price, base price, open price)

• Price Range in Ticks (same as above, but expressed in ticks rather than %)

• Restricted List (Buy, Sell, Short Sell and Short Sell Exempt are all individually controllable)

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Per-Security Risk Filters

(Global and Client specific)

 

• Restricted List (Buy, Sell, Short Sell and Short Sell Exempt all individually enabled/disabled)

• Max Lots per Order

• Max Quantity per Order (shares, contracts or units)

• Max Notional Value per Order

• Max Gross Quantity (cumulative per-position: for groups, the gross size of the position for all instruments in the group - expressed in shares, contracts or units)

• Max Gross Lots (same as above, but expressed in lots)

• Min/Max Net Quantity (cumulative per-position: for groups, the net (long - short) size of the position totalled for all instruments in the group - expressed in shares, contracts or units)

• Min/Max Net Lots (same as above, but expressed in lots)

 

Short and Long Sell Risk Filters

(Global and Client specific)

 

• Short Sell OK

• Short Sell Locate (check and draw down stock loan availability, reject if none available)

• Long Sell Inventory (check and draw down stock inventory, reject if none available)

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Position Risk Filters

(Account specific)

 

• Gross Quantity (gross total quantity of all orders contributing to the position, limited by global/client restrictions for instrument/group - expressed in shares, contracts or units)

• Gross Lots (same as above, but expressed in lots)

• Net Quantity (net total quantity of all orders contributing to the position, limited by global/client restrictions for instrument/group - expressed in shares, contracts or units)

• Net Lots (same as above, but expressed in lots)

• Long Market Value (LMV) (total notional value of all buy orders)

• Short Market Value (SMV) (total notional value of all sell orders)

• Gross Market Value (total notional value of all orders)

• Net Market Value – LMV - SMV

• Matched Market Value (proprietary risk metric, as defined by client)

• Max Gross Notional Value per Second

 

Portfolio Risk Filters

(Account specific)

 

• Long Market Value (LMV) (total notional value of all buy orders)

• Short Market Value (SMV) (total notional value of all sell orders)

• Gross Market Value (total notional value of all orders)

• Net Market Value – LMV - SMV

• Matched Market Value (as defined by broker)

• Trading Power (reject if collateral is insufficient to cover initial and position margin requirements)

• Portfolio Concentration (alert only)

• Max Loss (alert only)

 

Message Rate Risk Filters

(Account specific)

 

• Maximum Repeat Orders per Second

• Maximum Notional Value per Second

• … other rate-based filters per customer requirements

 

Market Specific Risk Filters

• Max Untraded Deletes (cancelled unfilled orders), both as an absolute limit as well as in proportion to filled orders

• Wash Trade Prevention / Trade against Self Prevention / Unintentional Cross Prevention (UCP)

• Circuit Breaker (index-based market-wide circuit breakers)

 

Margining for Listed Derivatives

(Client specific)

 

• SPAN based pre-margining (notional value of available collateral is continuously re-calculated)

 

NSE and KRX Risk Filters

Raptor provides comprehensive support for a range of NSE and KRX specific risk filters.

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Additional Risk Filters

Raptor supports additional risk filters and can extend support to new filters on customer request.