UNPKG

fixparser

Version:

FIX.Latest / 5.0 SP2 Parser / AI Agent Trading

fixparser.dev

57 lines (56 loc) • 3.44 kB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
/** * Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts. * - Tag: 1530 * - FIX Specification type: int * - Mapped type: number * @readonly * @public */ export declare const RiskLimitType: Readonly<{ /** Credit limit The credit limit provided by one party to another for trading. */ readonly CreditLimit: 0; /** Gross limit */ readonly GrossLimit: 1; /** Net limit */ readonly NetLimit: 2; /** Exposure */ readonly Exposure: 3; /** Long limit */ readonly LongLimit: 4; /** Short limit */ readonly ShortLimit: 5; /** Cash margin */ readonly CashMargin: 6; /** Additional margin */ readonly AdditionalMargin: 7; /** Total margin */ readonly TotalMargin: 8; /** Limit consumed The limit used in the recent transaction. */ readonly LimitConsumed: 9; /** Clip size/notional limit per time period 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). */ readonly ClipSize: 10; /** Maximum notional order size */ readonly MaxNotionalOrderSize: 11; /** DV01/PV01 limit 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. */ readonly DV01PV01Limit: 12; /** CS01 limit 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". */ readonly CS01Limit: 13; /** Volume limit per time period 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). */ readonly VolumeLimitPerTimePeriod: 14; /** Volume filled as percent of ordered volume per time period 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). */ readonly VolFilledPctOrdVolTmPeriod: 15; /** Notional filled as percent of notional per time period 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). */ readonly NotlFilledPctNotlTmPeriod: 16; /** Transaction/execution limit per time period 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). */ readonly TransactionExecutionLimitPerTimePeriod: 17; }>; export type RiskLimitType = (typeof RiskLimitType)[keyof typeof RiskLimitType];