ZERO-LATENCY RISK-MANAGEMENT SYSTEM AND METHOD

摘要

A zero-latency risk-management system and method useful in, for example, sponsored market access or in-house trades. The zero-latency risk-management system comprises an out-of-band risk monitor computer and a kill-switch. The kill-switch is in-line between order receipt and trade placement, but the out-of-band risk monitor computer operates in parallel with the order processing, thus eliminating latency in the trade. The out-of-band risk computer monitors orders as they flow through the system and updates any risk metrics based on those orders. Kill-switch threshold levels may be set in the risk computer to be, for example, the desired level of risk, minus the maximum amount of risk that a subsequent new order could incur. If the risk computer determines that an order has breached this kill-switch threshold, it activates the kill-switch to prevent additional order entry that could breach the actual threshold.