Code Set NameData TypeDescriptionPedigree
RiskLimitTypeCodeSetint

Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts.


0=

Credit limit

The credit limit provided by one party to another for trading.

Added EP171 [CreditLimit]
1=

Gross limit

Added EP105 Updated EP128 [GrossLimit]
2=

Net limit

Added EP105 Updated EP128 [NetLimit]
3=

Exposure

Added EP105 [Exposure]
4=

Long limit

Added EP105 Updated EP128 [LongLimit]
5=

Short limit

Added EP105 Updated EP128 [ShortLimit]
6=

Cash margin

Added EP128 [CashMargin]
7=

Additional margin

Added EP128 [AdditionalMargin]
8=

Total margin

Added EP128 [TotalMargin]
9=

Limit consumed

The limit used in the recent transaction.

Added EP171 [LimitConsumed]
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 [ClipSize]
11=

Maximum notional order size

Added EP171 [MaxNotionalOrderSize]
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 [DV01PV01Limit]
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 [CS01Limit]
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 [VolumeLimitPerTimePeriod]
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 [VolFilledPctOrdVolTmPeriod]
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 [NotlFilledPctNotlTmPeriod]
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 [TransactionExecutionLimitPerTimePeriod]
Added EP105 Updated EP204

Used in fields:
[RiskLimitType]