Code Set
RiskLimitTypeCodeSet
| ID | 1530 |
| Type | int |
| Pedigree | Added EP105, Updated EP204 |
Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| CreditLimit | 0 | Credit limit | The credit limit provided by one party to another for trading. | Added EP171 |
| GrossLimit | 1 | Gross limit | Added EP105, Updated EP128 | |
| NetLimit | 2 | Net limit | Added EP105, Updated EP128 | |
| Exposure | 3 | Exposure | Added EP105 | |
| LongLimit | 4 | Long limit | Added EP105, Updated EP128 | |
| ShortLimit | 5 | Short limit | Added EP105, Updated EP128 | |
| CashMargin | 6 | Cash margin | Added EP128 | |
| AdditionalMargin | 7 | Additional margin | Added EP128 | |
| TotalMargin | 8 | Total margin | Added EP128 | |
| LimitConsumed | 9 | Limit consumed | The limit used in the recent transaction. | Added EP171 |
| ClipSize | 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). | Added EP171, Updated EP214 |
| MaxNotionalOrderSize | 11 | Maximum notional order size | Added EP171 | |
| DV01PV01Limit | 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. | Added EP171 |
| CS01Limit | 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". | Added EP171 |
| VolumeLimitPerTimePeriod | 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). | Added EP214 |
| VolFilledPctOrdVolTmPeriod | 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). | Added EP214 |
| NotlFilledPctNotlTmPeriod | 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). | Added EP214 |
| TransactionExecutionLimitPerTimePeriod | 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). | Added EP214 |
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