- throttle your orders to the market
- set a threshold for market risk you can take per symbol, per sector, etc.
- take into consideration average daily volume of a symbol for calculating market risk threshold
- implement controls to send cancels for unfilled orders in the event if algo goes haywire
- reject orders priced at some percentage less or more than current market price per share
- throttle your orders to the market
- set a threshold for market risk you can take per symbol, per sector, etc.
- take into consideration average daily volume of a symbol for calculating market risk threshold
- implement controls to send cancels for unfilled orders in the event if algo goes haywire
- reject orders priced at some percentage less or more than current market price per share