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Delta Limits

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Delta Limits allows limits to be applied and monitored to any live and derived sources such as sector, portfolio, Position, P/L or Risk or across multiple observable points. It can monitor the Risk limits on a passive basis and record the breached of Risk Limits, or on an active basis and prohibit the capture of deals which may cause a potential breach of a Risk limit. High Frequency and lower Frequency functionality is delivered from the desktop to enterprise wide with full logging and audit trails also provided. The system is ideal for Risk, Proprietary Trading Desks, Compliance and Exchanges.
	Key Features
	Centralised repository combining limit information with static data management Define ad hoc limit types combined with rules and actions upon breaches Fully permissioned (for manual intervention) Real-time Engines – easily configurable CEP processes Fully integrated with Delta workflow allowing automated updates of data and process chaining upon breaches Reporting delivered via Delta Excel or standard packages Full email integration Comprehensive logging and audit trail
Limits Engine (for use with algo trading engine) Delta CEP enables low latency high frequency limits checking Real-time limiting checking responding to market and derived data event streams. Monitor limits by and across exchanges aggregating total positions Real-time mark-to-market of portfolios 3rd Party Trading Platforms integration Credit, Market and Operational Risk Full Permissioning/authorisation High volume with full logging Broad set of limit types Excess Management Realtime pre-trade analytics Tick-by-Tick Analysis Streaming Data Smart Order Routing Real-time Risk and P/L and Margining Compliance rules Entitlements Analytics - Pricing and Valuation and Risk measures
First Derivatives provides a POC for quality prospects. Our approach goes beyond the conference room staged demonstrations with the following aspects covered:
Market Connectivity/Feedhandlers Data Loading FIX Connectivity Application Integration Limit setup and refinement Integration of external code Incorporate external DLLs and libraries Backtesting Real-time P/L and Risk Management Full suite of reporting tools Implementation of compliance algorithms