Pre-Trade Controls for Order Flow, Size, and Activity

Summary

The document describes a pre-trade risk module that intercepts orders before they reach the trading API. Its controls include a cap on orders within a time window, a reset interval for that count, a maximum quantity per order, a daily limit on filled trades, a maximum number of active orders, and a daily cancellation limit tracked separately for each contract.

Users enable the checks and set their limits through a graphical interface, then save the settings for them to take effect. Orders pass through only when they meet all configured rules; the module can also be stopped when checks are no longer needed. The guidance recommends enabling the controls before automated trading begins. The document explains configuration and control behavior but provides no performance evidence, default parameter values, or detail on how limits should be calibrated for a particular strategy or market.

Key ideas

• The module checks orders before they are sent through the trading API.
• Users can limit order frequency, per-order quantity, daily fills, active orders, and cancellations by contract.
• Order-frequency counts can be cleared at a configured interval.
• Saved settings apply the controls, and stopping the module disables the checks.
• The document gives no method for choosing appropriate risk limits.

Tags

From a private course collection; the original is not published.