Class PreTradeLimitChecker

java.lang.Object

com.quantfinlib.risk.PreTradeLimitChecker

public final class PreTradeLimitChecker
extends Object

Pre-trade risk gate: validates every order against configured limits before it reaches the market — order size, notional, resulting position, price collar versus a reference mid, restricted symbols, and counterparty credit headroom. Designed to be evaluated synchronously on the order path.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	PreTradeLimitChecker.CheckResult
static final record	PreTradeLimitChecker.OrderRequest

Constructor Summary

Constructors

Constructor	Description
PreTradeLimitChecker()

Method Summary

Modifier and Type	Method	Description
PreTradeLimitChecker.CheckResult	check(PreTradeLimitChecker.OrderRequest order, double referenceMid, long currentPositionQty, double counterpartyExposure)
PreTradeLimitChecker	counterpartyLimit(String counterparty, double limit)
PreTradeLimitChecker	maxOrderNotional(double notional)
PreTradeLimitChecker	maxOrderQuantity(long qty)
PreTradeLimitChecker	maxPositionQuantity(long qty)	Cap on |position| after the order would fully fill.
PreTradeLimitChecker	priceCollarPct(double pct)	Reject prices more than this fraction away from the reference mid (fat-finger guard).
PreTradeLimitChecker	restrictSymbol(String symbol)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

PreTradeLimitChecker

public PreTradeLimitChecker()

Method Details

maxOrderQuantity

public PreTradeLimitChecker maxOrderQuantity(long qty)

maxOrderNotional

public PreTradeLimitChecker maxOrderNotional(double notional)

maxPositionQuantity

public PreTradeLimitChecker maxPositionQuantity(long qty)

Cap on |position| after the order would fully fill.

priceCollarPct

public PreTradeLimitChecker priceCollarPct(double pct)

Reject prices more than this fraction away from the reference mid (fat-finger guard).

counterpartyLimit

public PreTradeLimitChecker counterpartyLimit(String counterparty,
 double limit)

restrictSymbol

public PreTradeLimitChecker restrictSymbol(String symbol)

check

public PreTradeLimitChecker.CheckResult check(PreTradeLimitChecker.OrderRequest order,
 double referenceMid,
 long currentPositionQty,
 double counterpartyExposure)

Parameters:

referenceMid - current market mid for the collar check (NaN skips it)

currentPositionQty - signed current position in the symbol

counterpartyExposure - current total exposure to the order's counterparty