gunnark01

I used to work in the HFT, and I don´t understand is why there was no risk controls. They way we did it was to have explicit shutdown/pause rules (pause meaning that the strategy will only try to get flat).

The rules where things like: - Too many trades in one direction (AKA. big pos) - P/L down by X over Y - P/L up by X over Y - Orders way off the current price

When ever there was a shutdown/pause a human/trader would need to assess the situation and decide to continue or not.

We have something similar in house, it is basically proxy that runs on our app-server and our app connects to. It will then parse incoming queries and route queries to the correct schema/server base on the WHERE clause (also supports INSERT). We would like to on open source it, but right now it specific to our needs (e.g hard coded hash function).