Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Price collar?

Definition 27.2 Market Making and High-Frequency Trading · Bab 27 — Risk Controls

A price collar is a pre-trade limit on how far an order’s price may be from a reference price (the last trade, the mid, a fair value), in basis points or ticks, above which a buy or below which a sell is refused as a probable error.

The limits hierarchy and the three places it acts: the pre-trade gate refuses an order that breaks a limit; the post-trade monitor watches losses, positions and message rates and triggers the kill switch, which cancels open orders, flattens positions and blocks new orders at the level that broke. Source: firm.riskctl; the gate is One Quant Book 13’s firm.riskgate.
Figure 27.1. The limits hierarchy and the three places it acts: the pre-trade gate refuses an order that breaks a limit; the post-trade monitor watches losses, positions and message rates and triggers the kill switch, which cancels open orders, flattens positions and blocks new orders at the level that broke. Source: firm.riskctl; the gate is One Quant Book 13’s firm.riskgate.
Baca dalam konteks →