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FIXtags

FIX TAG 1530

RiskLimitType

intAdded FIX.5.0SP2 · EP105

Definition

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

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Differences between the selected source snapshots, including wording and errata; not a migration guide.

FIX 5.0 SP2 FIX Latest · EP309

This tag is not present in the FIX 5.0 SP2 source. There is no definition or value list to compare.

Values 18

ValueMeaning
0

Credit limit

Additional detail from the official source

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

1

Gross limit

2

Net limit

3

Exposure

4

Long limit

5

Short limit

6

Cash margin

7

Additional margin

8

Total margin

9

Limit consumed

Additional detail from the official source

The limit used in the recent transaction.

10

Clip size/notional limit per time period

Additional detail from the official source

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).

11

Maximum notional order size

12

DV01/PV01 limit

Additional detail from the official source

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.

13

CS01 limit

Additional detail from the official source

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".

14

Volume limit per time period

Additional detail from the official source

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).

15

Volume filled as percent of ordered volume per time period

Additional detail from the official source

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).

16

Notional filled as percent of notional per time period

Additional detail from the official source

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).

17

Transaction/execution limit per time period

Additional detail from the official source

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).

About the int data type

Sequence of digits without commas or decimals and optional sign character (ASCII characters "-" and "0" - "9" ). The sign character utilizes one byte (i.e. positive int is "99999" while negative int is "-99999"). Note that int values may contain leading zeros (e.g. "00023" = "23").

Used in messages 6

Includes nested components and repeating groups. Open a location to see its surrounding requirements.