RISK MITIGATION IN AN ELECTRONIC TRADING SYSTEM

摘要

An electronic trading system (ETS) implements risk mitigation methods for orders and quotes associated with a market participant on the ETS. The methods determine a measure of risk associated with one or more trading positions. One of the methods globally counts the number of breaches of risk thresholds associated with a trading symbol and market participant across all matching engines on the ETS over a rolling time period, and if this global risk counter exceeds a maximum, disables all further trades by the market participant on the ETS. Another method limits the number of automatic re-enablements that a market participant can request in response to prior breaches of risk thresholds that resulted in disabling any further trading by the market participant on the ETS.

主权项

1. A computer-implemented method for mitigating trading risks of a market participant, the method comprising:
receiving, by an electronic trading system, an order or quote associated with a trading symbol and with a market participant, said electronic trading system comprising one or more specialized computers comprising a risk manager (RM) module embodied therein, said RM module comprising computer-readable instructions stored on a non-transitory computer readable storage medium and executed by at least one processor; determining, by the RM module, whether the order or quote breaches a single-trade risk threshold; and disabling, by the RM module, execution of any further trades associated with the trading symbol and the market participant on the electronic trading system if it is determined that the order or quote breaches the single-trade risk threshold.