December 2013
Beginner to intermediate
286 pages
5h 46m
English
Content preview from F# for Quantitative FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Implementing simple pretrade risk analysis
In this section, we'll briefly cover pretrade risks for a simple trading system. Pretrade risks are everything that are considered to be risks and analyzed before the order is sent to the exchange. Typically, this is done in the trading engine or order execution engine or order management system. Here we'll consider basic pretrade risk measurements, such as order size and maximum distance for limit prices (that is values that tend to be high/low from the current market price).
The following are the examples of pretrade risk rules:
- Limit the order price distance from the current market price
- The maximum order value
- Total exposure
- Number of orders sent per time unit
Validating orders
Let's dive into some code ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.