RAPTOR

Directly connect to Asia-Pacific venues (FIX + Native) with ultra-low-latency, while complying with all trading risk requirements.

New

Risk Management

 

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:

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)

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)

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)

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)

 

Margining for Listed Derivatives

(Client specific)

 

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

 

NSE and KRX Risk Filters

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

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Additional Risk Filters

Raptor will be extended to support the following new risk filters:

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