Risk Limit Import/Export

Overview

Ember Journal records all the changes made to risk limits. Using Journal tools, one can export or batch-modify risk limits in the system.

For more information, see the Ember Journal documentation and description of journal-to-json and journal-transform tools.

Examples

Here are some of the examples of risk related messages in the journal.

Example 1

A user "andy" defines a Maximum Order size of 100 and a Maximum Long position of 10000 for MSFT:

{
   "$type":"RiskUpdateRequest",
   "requestId":"EMBER-MONITOR-20210128-19:51:52.061:2081018901361852326",
   "projection":"Source/Symbol",
   "commands":[
      {
         "$type":"RiskTableCommand",
         "cmdType":"INSERT",
         "conditions":[
            {
               "$type":"RiskCondition",
               "projectionKey":"Source",
               "value":"*"
            },
            {
               "$type":"RiskCondition",
               "projectionKey":"Symbol",
               "value":"MSFT"
            }
         ],
         "limits":[
            {
               "$type":"RiskLimit",
               "name":"MaxOrderSize",
               "value":"100"
            },
            {
               "$type":"RiskLimit",
               "name":"MaxPositionLong",
               "value":"10000"
            },
            {
               "$type":"RiskLimit",
               "name":"MaxPositionShort"
            }
         ]
      }
   ],
   "changedByUserId":"andy",
   "timestamp":"2021-01-28T22:29:25.383Z"
}   

Notice how a wildcard is used to apply this limit to orders from any source.

Example 2

A user "andy" defines two risk limit cases with a Maximum Order size of 10000 for USD and 13000 for EUR:

{
  "$type":"RiskUpdateRequest",
  "requestId":"EMBER-MONITOR-20210128-19:51:52.061:2081018901361852327",
  "projection":"Currency",
  "commands":[
     {
        "$type":"RiskTableCommand",
        "cmdType":"INSERT",
        "conditions":[
           {
              "$type":"RiskCondition",
              "projectionKey":"Currency",
              "value":"USD"
           }
        ],
        "limits":[
           {
              "$type":"RiskLimit",
              "name":"MaxOrderSize",
              "value":"10000"
           }
        ]
     },
     {
        "$type":"RiskTableCommand",
        "cmdType":"INSERT",
        "conditions":[
           {
              "$type":"RiskCondition",
              "projectionKey":"Currency",
              "value":"EUR"
           }
        ],
        "limits":[
           {
              "$type":"RiskLimit",
              "name":"MaxOrderSize",
              "value":"13000"
           }
        ]
     }
  ],
  "changedByUserId":"andy",
  "timestamp":"2021-01-28T22:29:49.410Z"
}