Imported from previous forum
I don’t understand how the risk warnings are sent out. What message is sent when the RiskWarningLevelPercent is violated?
I don’t understand how the risk warnings are sent out. What message is sent when the RiskWarningLevelPercent is violated?
This purposefully wasn’t defined. The thought behind not defining anything is that the notification would be delivered out of band, or it could use a more generic message (say, Email).
The general rule of thumb is that new functionality should be added only when an actual business need exists. When EP105 was created, nobody had a requirement to create a new message for this purpose, so FPL didn’t add anything. In the future, should someone have a need for a standard message to communicate risk limits being exceeded, then they should propose adding one.
I don’t understand how the risk warnings are sent out. What message is sent when the RiskWarningLevelPercent is violated?
This purposefully wasn’t defined. The thought behind not defining anything is that the notification would be delivered out of band, or it could use a more generic message (say, Email).
The general rule of thumb is that new functionality should be added only when an actual business need exists. When EP105 was created, nobody had a requirement to create a new message for this purpose, so FPL didn’t add anything. In the future, should someone have a need for a standard message to communicate risk limits being exceeded, then they should propose adding one.
Thanks Ryan.
Best,
Rob
Whilst there is no specific message (yet) to notify the violation, you can convey the current utilization of a risk limit with RiskLimitUtilizationAmount (1766) or RiskLimitUtilizationPercent (1765).
If you do not send out the reference data with FIX messages in-band then you could (as a workaround) use the PartyRiskLimitUpdateReport message to set or remove a risk limit with ListUpdateAction = A (Add) / D (Delete) and RiskLimitAction = 4 (Warning), omitting RiskLimitAmount and . However, the message may still be overkill for this purpose and an extension of the UserNotification message may be preferrable. As Ryan pointed out, users should come forward with an actual requirement and submit an extension proposal.
I don’t understand how the risk warnings are sent out. What message is sent when the RiskWarningLevelPercent is violated?