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Pricing Models - Firewalls

Firewalls are defined to render pricing indicative either temporarily or permanently if tripped.

They take into account:

  • Volume or PnL limits

  • Price spikes

  • Price barriers

Generic Firewalls

When triggered, generic firewalls will turn pricing indicative, which in turn brokers flow if there is a PnL loss over a period of time.

Configuration at pricing.genericFirewalls

Instrument Specific Firewalls

Instrument specific firewalls will turn individual instruments or all instruments to indicative if a spike in an instrument’s mid price is seen.

Configuration at pricing.instrumentSpecificFirewalls

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