Guru's Verification engine ensures consistency, confidence, and trust in the knowledge your organization shares. Learn more.

Execution Rules - Net Vol. Limit Breach

The Net Vol Limit helps to avoid taking on an imbalance of flow i.e. too much volume on one side of buys/sells.

The Net Vol. Breach can be toggled to cancel/don't cancel a trade dependent on the net volume limit profile.

  • If set to Don't Cancel, the Price Check and Mid Distance Checks will still be applied regardless of the net volume to allow for potential internalisation.
  • If set to Cancel, a trade will be automatically cancelled if the net volume has been breached at the initial last look period and again at the final last look.

Execution rules have two configurable last look (LL) periods, the first smaller value is the normal LL that gets applied to every trade hitting the execution rule. The second is an additional LL period applied only if the net volume limit was breached at the time of the initial last look. This allows for more time for liquidity to be returned to improve the chances of a fill.

The limit is defined in distribution.liquidityThrottle.netVolumeLimitingProfile, the default is 100k per 1ms. This volume limit counts previous trades, not the current one trying to be executed.

This limit is global, and not counterparty, instrument, or rule specific.

Example when config is set to Cancel:

image.png

  1. Trade 1 of $10m is received at 0s
  2. Trade 1 is accepted at the end of it's last look period (50ms) leaving the book net -$10m
  3. Liquidity is refreshed at $1m per 10ms i.e. it takes 100ms for the volume to return to 0
  4. During this time the Trade 2 comes in and because the liquidity is still breached by ~$3m at the end of it's 50ms last look period, the trade cannot be filled and the LL period is extended to 200ms
  5. Trade 3 comes in just after the initial LL period of Trade 2 when all liquidity has refreshed
  6. Because Trade 2 hasn't been filled yet, there has been no depletion of volume
  7. However, now Trade 3 has depleted the liquidity and so at the end of Trade 2 extended LL the volume is again in breach of the limit
  8. Had Trade 3 not come in, Trade 2 would have been filled

Up next:

Back to Execution Rule Overview

You must have Author or Collection Owner permission to create Guru Cards. Contact your team's Guru admins to use this template.