ROX Systems relies on sophisticated automated controls to insure that trades are within acceptable trading limits and remain compliant with all securities regulations. All orders are routed through our systems, and undergo all required checks before being forwarded to the market.
Our controls can be viewed as falling into three district categories: Fat Finger Checks, Credit Limits Checks & Compliance Controls.
Fat Finger Checks: Fat finger checks are designed to detect an order that appears to have been entered erroneously. Depending on the circumstances, fat finger checks will warn the trader of a possible error, or reject the order.
Max Order Quantity
Max Order Money
Order Count -> Same Symbol, Side, Price, Exchange per second
Total Money -> Same Symbol, Side, Price, Exchange per second
Max Market Order Money
Aggressive Price Check: Reject orders between 9:30 AM and before 4:00 PM if the limit order price delta in reference to the last price exceeds 3 vol. (15% if 3 vol. is not available). We always permit a 5% variance or $1.00 whichever is more aggressive.
Credit Limit Checks: Credit controls are designed not to allow an account to take on excessive risk.
Concentration Exposure (-10 VOL and 10 VOL)
Net Market Exposure (-3 VOL to 3 VOL) 0.3 VOL increments -> 21 buckets
Gross Money Excluding Open Orders
Gross Money Including Open Orders
Sell Long Check (ensure account has the required position, if configured for account)
Gross Money by any Symbol Excluding Open Orders
Gross Money by any Symbol Including Open Orders
Intraday Sell Quantity By Symbol Limit
Gross Money by Symbol (specific symbols) Including Open Orders
Gross Money by ant Euro Symbol Including Open Orders
Invalid Order Data – Quantity less than or equal to 0 or No Symbol
Customer Not Profiled
Gross Max Money Limits Not Set
Liquidate Only Mode Active and Order is Establishing
Compliance Controls: Compliance controls are designed to prevent an order that would violate securities’ laws or regulations.
Potential Wash Sale Detection
Require position for “long” sale
Check short sales against easy to borrow list
Correct Rule 80a account type
Booth validity check
Correct Open/Close for option orders
Enforce restricted list
Prevent market orders in IPO stocks
Restrict number of order on one side of the market in a symbol
Continue to Algorithms