ICE Futures 

Exchanges 

Risk Controls – TAC

Mayur Kapani

CTO, Intercontinental Exchange

October 2019

ICE Confidential
Risk Controls 

Philosophy

• Controls are applicable across all ICE Exchanges (IFEU, IFUS, IFED, 

NDEX) covering all futures and options products

• Prevention pre-trade along with post trade detection and mitigation

• Real time management of risk with drop copies and market data 

• Granular control at different levels of aggregation (User, Account, Desk, 

Company)

• Tighter integration with third party and in-house risk systems

• Front End Tools and API for more visibility, alerting and monitoring

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Market Controls

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Price Protection on Orders

• Price banding or collars that warn and reject orders that are outside 

the band of current market value

Interval Price Limit (IPL aka Circuit Breaker)

• Orderly trading when there are large price moves in a short period of time

No Cancellation Range (NCR) 

• All trades outside this range are reviewed by ICE Operations 

Message Throttle Limits

• Prevent mal-functioning software from overwhelming the market

Cancel on Disconnect

• Auto cancellation of open orders upon session disconnect or loss of heartbeat

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Clearing Member Managed Controls

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Limits by Product Group (Pre-Trade)

• Order Clip Size Limit 

• Working Order Limit

• Net Position Limit

• Absolute Long/Short Limit

• Off Exchange Trade Clip Size Limit (Nov 2019)

• Granular control to manage limits within product group (Q1 2020) 

$-based margin limits (Post-Trade)

• Account

• Group of Accounts (Nov 2019)

• Trading Firm (Q1 2020)

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Trading Firm Managed Controls

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Self Match Prevention 

(by company/user/account or group [desk])

• Prevents users from a given company or desk from trading with each other

Option Risk Protection

• Volume Based

• Total quantity threshold breach, within a product, in a set timeframe. 

• Delta Based

• Adjusted net futures volume threshold breach in a set timeframe

• Cumulative %

• Cumulative % of all quotes traded, within a product in respect 

to their quote size, in a set timeframe

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Detection & Mitigation

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Kill Switches

• Ability to kill user sessions, withdraw orders, disable accounts or change limits in real time

• Quickly switch off product(s) across multiple accounts and Firms (Q1 2020)

FIX API

• Risk Management 

• Order and Trade Drop Copies

Breach Alerts (Email notifications)

• Clip Size Limit

• Intraday Trade and Position Limit

• Price Protection Rejects

• Option Risk Control Activation

• Message Throttling Limit

• Self Trade Detection

• Margin limit breaches at various configured levels (Nov 2019)

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Brent Crude Futures: Orders Rejected Due to Price 

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Brent Crude Options: Rejects due to credit controls

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Brent Crude Options: Rejects due to risk controls

Options Risk Rejects

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Questions?

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