{"id":7550,"date":"2025-08-28T22:34:47","date_gmt":"2025-08-29T03:34:47","guid":{"rendered":"https:\/\/librarytestdev.wpenginepowered.com\/?post_type=doc&p=7550"},"modified":"2025-08-28T22:34:47","modified_gmt":"2025-08-29T03:34:47","slug":"portfolio-calculations-and-trade-out","status":"publish","type":"doc","link":"https:\/\/library-test.tradingtechnologies.com\/setup\/risk-management\/pre-trade-portfolio-risk\/description-pre-trade-portfolio-risk\/portfolio-calculations-and-trade-out\/","title":{"rendered":"Portfolio Calculations and Trade Out"},"content":{"rendered":"\n\n\n \n \n\n\n \n\n \n \n\n\n \n\n \n \n \n \n\n \n \n \n \n\n\n\n\n\n\n\n \n\n
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Portfolio Calculations<\/h2>\n\n

By considering various combinations of filled positions along with working orders, TT will determine the worst-case margin applicable to an account and will reserve the correct amount of capital from the accounts credit.<\/p>\n\n

Each new order is checked as part of the portfolio calculation during pre-trade risk and if it is determined that the order has the potential to exceed the allowed credit it will automatically be rejected.<\/p>\n\n

The rejection message includes details including the calculated margin requirement, the available balance on the account, and the type of portfolio check which exceeded the worst-case margin.<\/p>\n\nExample: <\/strong>\n\n

TT pre-trade risk rejection: Credit required for this order (25000) exceeds account (JSmith) Span Credit Limit (22500) Type BUY<\/i><\/p>\n\n

Margin requirements in different currencies are first converted into the currency set on the Account and then compared to the allowed credit limit.<\/p>\n\n

Pre-Trade Portfolio Risk integrates with other markets on TT that do not yet support the service. If a trader is accessing a variety of different exchanges whereby some support the service and others do not, the margin requirements for all markets will be added together and checked against the account’s credit.<\/p>\n\n\n

Trade Out<\/h2>\n\n

Trade Out logic used in TT Pre-Trade Portfolio Risk differs from the traditional logic – Credit forms an integral part of the Trade Out calculation.<\/p>\n\n

Instead of simply considering the open position and allowing any order which reduces that position; Pre-Trade Portfolio Risk will make a calculation to check the resulting worst-case Initial Margin & Options Premium will not exceed the allowed credit limit.<\/p>\n\n\nExample: <\/strong>\n\n\n <\/i>

A trader has $1,000 credit and is long 2 E-mini S&P 500 Futures Calendar spreads. <\/p>\n \n

    \n
  • Short 2 x ES Dec24<\/li>\n
  • Long 2 x ES Mar25<\/li>\n <\/ul>\n \n

    The Initial Margin requirement for this position is $440.<\/p>\n \n

    If the trader attempts to enter an order to Buy 2 x ES Dec24 with a view to flatten the existing short position in this contract.<\/p>\n \n

    Although the incoming Buy order is reducing the traders existing position in ES Dec24; the resulting Initial Margin requirement will be in excess of the traders credit.<\/p>\n \n

    The worst-case scenario is where the trader is filled on the Buy orders which would see an outright long position remaining.<\/p>\n\n

      \n
    • Long 2 x ES Mar25 <\/li>\n <\/ul>\n \n

      The Initial Margin Requirement for this position is $30,360.<\/p>\n\n

      As the trader has a credit limit of $1000, the Buy order in ES Dec24 will be rejected.<\/p>\n\n \n

      In cases where an Account has exceeded its allowed credit limit, the Trade Out logic used in Pre-Trade Portfolio Risk will allow orders where the resulting Initial Margin & Options Premium is equal to or less than the current amount and the new order does not cause an increase to the credit requirement.<\/p>\n\n<\/div>\n","protected":false},"excerpt":{"rendered":"

      Portfolio Calculations By considering various combinations of filled positions along with working orders, TT w […]<\/p>\n","protected":false},"author":2,"template":"","meta":{"_acf_changed":false,"footnotes":""},"docs-category":[648],"class_list":["post-7550","doc","type-doc","status-publish","hentry","docs-category-description-pre-trade-portfolio-risk"],"acf":[],"_links":{"self":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7550","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc"}],"about":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/types\/doc"}],"author":[{"embeddable":true,"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/users\/2"}],"version-history":[{"count":0,"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7550\/revisions"}],"wp:attachment":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/media?parent=7550"}],"wp:term":[{"taxonomy":"docs-category","embeddable":true,"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/docs-category?post=7550"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}