Risk Controls

Pursuant to Rule 540, the Exchange implements, and makes available to Trading Privilege Holders, including Clearing Member Trading Privilege Holders (or “Exchange Clearing Members”) and non-Clearing Trading Privilege Holders, various risk control mechanisms.

Limits set by Cboe Digital Exchange

COD (Cancel on Disconnect)

Applied by FIX Session. All open session (GFS) orders are automatically canceled if the Order Entry FIX ID is disconnected from the exchange for any reason. The choice of having COD enabled or disabled is at the discretion of the Trading Privilege Holder.

Throttle Limit

Applied by FIX Session. Each FIX session comes with a standard throttle of 100 messages per second. A throttle limit of 500 messages per second will be applied to FIX sessions for Trading Privilege Holders participating in the Cboe Digital Exchange Futures Market Maker and DALP Incentive Programs.

Section 8.13 of the Exchange FIX Specs provides further details on the messages that count towards the throttle limit.

Price Banding

The Exchange enforces dynamic price banding to prevent erroneous order execution. The price bands set an upper bound on buy orders and lower bounds on sell orders. Price bands are set per instrument based on a configurable number of ticks from the instrument reference price. The reference price is determined by the Exchange using a waterfall heuristic based on trades, best bid/offer, last settlement price or current reference price in real time (on every tick).

  • Price bands for Futures products are currently set at 5%


Top Day Margin Exposure Limit

The maximum cumulative size for an FCM portfolio (including working orders) during a trading session represented in terms of the portfolio margin requirement. The Margin Exposure limit is set per FCM Clearing Account. Margin Exposure limit usage is calculated by the Exchange as the number of contracts times margin per contract on a CAR level (account for NET and GROSS CAR configuration) and aggregated on a gross basis to the FCM Clearing Account level. Note: Pre-trade margin calculation does not provide any inter or intra commodity offset. Orders that will cause the Margin Exposure limit usage to exceed the limit will be rejected by the Exchange.

Product Top Day Position Exposure Limit

The maximum cumulative positions per product that can be accumulated in an FCM Clearing Account for a trading session. The positions are maintained per CAR (account for NET or GROSS CAR configuration) and aggregated on a gross basis to the FCM Clearing Account level. Usage towards the Position Exposure Limit takes working orders into account and any order that will cause the usage to exceed the limit will be rejected by the Exchange.

Limits set by Futures Clearing Members

The following risk control mechanisms are available to Clearing Member Trading Privilege Holders to set for their customers trading on Cboe Digital Exchange. Full details for Clearing Member risk control mechanism are available in the Cboe Digital Clearing Member Portal User Manual:

  • Self Match Prevention
  • Global Default Max Order Size
  • Enabled Products
  • Max Order Size per Product
  • Max Long/Short Exposure (at Aggregate Product Level)
  • Max Long/Short Exposure (at Expiry Level)