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] |