Description
Type: int
Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts.
Valid values:
-
0 = Credit limit
The credit limit provided by one party to another for trading.
- 1 = Gross limit
- 2 = Net limit
- 3 = Exposure
- 4 = Long limit
- 5 = Short limit
- 6 = Cash margin
- 7 = Additional margin
- 8 = Total margin
-
9 = Limit consumed
The limit used in the recent transaction.
-
10 = Clip size/notional limit per time period
The total notional amount limit allowed to be executed within a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod <2336> and RiskLimitVelocityUnit <2337>.
- 11 = Maximum notional order size
-
12 = DV01/PV01 limit
The maximum dollar value change resulting from a move of 1 basis point in the yield curve. This limits the interest rate risk exposure. Also known as "basis point value" or BPV.
-
13 = CS01 limit
Credit spread sensitivity. Represents the change in market value of a CDS for a one basis point change in the credit spread. This limits the credit risk exposure of a CDS. Also known as "risky-DV01".
-
14 = Volume limit per time period
The total number of shares, bonds or contracts allowed to be executed within a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod <2336> and RiskLimitVelocityUnit <2337>.
-
15 = Volume filled as percent of ordered volume per time period
The total number of shares, bonds or contracts executed as a percentage of the total ordered shares, contracts or notional amount for a specified security, instrument, symbol, or underlying, over a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod <2336> and RiskLimitVelocityUnit <2337>.
-
16 = Notional filled as percent of notional per time period
The total notional amount executed as a percentage of the total ordered shares, contracts or notional amount for a specified security, instrument, symbol, or underlying, over a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod <2336> and RiskLimitVelocityUnit <2337>.
-
17 = Transaction/execution limit per time period
The total number of transactions or execution fills allowed within a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod <2336> and RiskLimitVelocityUnit <2337>.