Fat-Finger Limit

Install and import#

npm install fintech-algorithms

import { fatFingerLimit } from "fintech-algorithms/matching-engines-and-venue-logic/order-controls/fat-finger-limit";

Signature#

fatFingerLimit(side, limit_price_atoms, reference_price_atoms, quantity, max_quantity, max_notional_atoms, max_aggressive_deviation_bps)

Blocks obviously erroneous orders on quantity, notional and aggressive price deviation. The last automated check between a mistyped order and a market-wide incident.

Parameters#

Returns#

{ valid, breached_checks, quantity, notional, deviation_bps }

Which specific checks failed rather than a bare rejection — a participant cannot correct what they are not told.

Errors#

• When a limit is negative — throws

Complexity: time O(1), space O(1).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

"buy"

1015000

1000000

4000

5000

5000000000

200

Call#

fatFingerLimit(side, limit_price_atoms, reference_price_atoms, quantity, max_quantity, max_notional_atoms, max_aggressive_deviation_bps)

Returns#

object with 11 fields: side, limit_price_atoms, reference_price_atoms, quantity, order_notional_atoms, aggressive_deviation_bps, checks, violations, …

{
  "side": "buy",
  "limit_price_atoms": 1015000,
  "reference_price_atoms": 1000000,
  "quantity": 4000,
  "order_notional_atoms": 4060000000,
  "aggressive_deviation_bps": 150,
  "checks": {
    "quantity": {
      "value": 4000,
      "limit": 5000,
      "passed": true
    },
    "notional": {
      "value": 4060000000,
      "limit": 5000000000,
      "passed": true
    },
    "aggressive_deviation_bps": {
      "value": 150,
      "limit": 200,
      "passed": true
    }
  },
  "violations": [],
  "valid": true,
  "reason": "within-configured-limits",
  "state": "accepted"
}

Other exports#

This module also exports tickSizeValidation, priceBandValidation, selfTradePrevention, cancelOnDisconnect, circuitBreakerTrigger, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams#

Calculation flow#

flowchart LR
    S1["Validate order and configured limits"]
    S2["Compute exact notional"]
    S3["Compute buyabove or sellbelow aggressive deviation"]
    S4["Evaluate quantity notional and price checks"]
    S5["Return all violations"]
    S1 --> S2
    S2 --> S3
    S3 --> S4
    S4 --> S5
    S5 --> D{"equality at each configured maximum"}
    D --> O["violations + diagnostics"]
    O --> A["Audit: Notional equals integer price times quantity"]

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• Cboe Titanium U.S. Equities/Options Web Portal Port Controls Specification — Cboe Global Markets
• Cboe Titanium U.S. Equities FIX Specification — Cboe Global Markets
• Commission Delegated Regulation (EU) 2017/584 — European Commission
• Evidence boundary

The rest of the Order Controls family#

• Tick-Size ValidationRejects a price that is not a whole multiple of the instrument's tick.
• Price-Band ValidationChecks a limit price against the venue's dynamic price band.
• Self-Trade PreventionStops a participant trading with itself — required by most venues, and the *mode* determines who loses their order.
• Cancel-on-DisconnectDecides which orders to pull when a session drops.
• Circuit-Breaker TriggerEvaluates market-wide circuit breaker levels against the index move.