4. 4
BASIC REAL-TIME POST-TRADE REAL-TIME ORDER
PRE-CLEARING
TRADES
END-OF-DAY, INTRA-DAY
MARGIN CALL
END-OF-DAY
OR MINI BATCH
ORDERS
~400
µs
RISK AND MARGIN
CALCULATED
IN BATCHES
RISK AND MARGIN
CALCULATED
POST-TRADE IN REAL-TIME
PROJECTED RISK
CALCULATED
BEFORE ACCEPTING THE ORDER
IF PROJECTED MARGIN
REQUIREMENT BREACHES
AVAILABLE MARGIN,
ORDER IS NOT ADMITTED TO
MATCHBOOK
ORDERS
TRADES
ORDERS ORDERS
REAL-TIME POST-TRADE
RISK CHECK
AND
MARGIN CALL
TRADES
ORDERS ORDERS
~12000 orders/second
HYPOTHETICAL TRADE
RISK CALCULATION
~400
µsACCOUNT
SHUTOFF
REAL-TIME RISK MANAGEMENT
5. 5
COSTS AND BENEFITS
CREATES EVEN PLAYING FIELD
IN A VERY DIVERSE PARTICIPANT
COMMUNITY
1
PRESERVES MARKET INTEGRITY
DURING SHOCKS
2
HELPS BROKERS MANAGE CLIENT
RISK
3
LIMITS THE COMPLEXITY AND SCOPE
OF RISK MANAGEMENT ALGORITHMS
1
LIMITS CROSS-MARGINING2
IMPACTS OVERALL SYSTEM-
STABILITY DUE TO TIGHT SYSTEM
COUPLING
3
BENEFITS COSTS
6. 6
2-TIER RISK MANAGEMENT
1 ORDER INJECTED
2
ORDER SENT TO
PRE-TRADE RISK MODULE
3
ORDER CLEARED BY
PRE-TRADE
4 MATCHED
5
PORTFOLIO RISK
RECALCULATION
6
ADJUSTED LIMITS SENT
TO PRE-TRADE
PRE-TRADE
RISK CHECK
POST-TRADE
RISK CHECK
AND CLEARING
MATCH
ORDERS
LIMITS
LIMIT ADJUSTMENT
LIMIT REAL-TIME
RECALCULATION
1
2 3
4
5
6