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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Worst-case exposure؟

Definition 22.2 Low-Latency Software · الفصل 22 — Pre-Trade Risk and Kill Switches

The worst-case exposure of a firm in an instrument is its position plus everything its open orders could still add if they all filled: on the long side, the position plus the remaining quantity of every open buy order, including those whose acknowledgement or cancellation has not arrived; on the short side, the same with sell orders. A limit is respected in the worst case if a new order fits under it on top of this exposure.

The cost of one pass through the gate’s twelve checks, median of TSC-timed calls: on the fixture’s 4 874 orders (every kind of refusal, cold tables), split by outcome; and on a stream where every order passes, with the duplicate check off and on. Measured on a laptop (Intel Core Ultra 7 155H) under WSL2. Data: bench_risk.py.
Figure 22.2. The cost of one pass through the gate’s twelve checks, median of TSC-timed calls: on the fixture’s 4 874 orders (every kind of refusal, cold tables), split by outcome; and on a stream where every order passes, with the duplicate check off and on. Measured on a laptop (Intel Core Ultra 7 155H) under WSL2. Data: bench_risk.py.
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