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Parth Parekh
STAGE 06RISKEXECUTION PLANE
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Margin and charges before anyone sizes

Pre-trade risk answers one question with real money attached: what will this proposed book actually cost to hold, and can we hold it? It runs before sizing, and it is the one check allowed to stop the path.

THE SHAPERISK
HOT PATH — NOTHING MAY BLOCK ITSIGNALSIZESENDACK⟂CONTROL PLANE — ALLOWED TO BE A MOMENT BEHINDCLIENT DIRECTORYMARGIN VIEWBLOTTER · CHARGESA SCREEN THAT WAITS ON THE CLIENT DIRECTORY IS A BUG. AN ORDER THAT WAITS ON IT IS A WORSE ONE.DISPLAY READS A CACHE. IF THE DIRECTORY IS DOWN, ROUTING USES LAST-KNOWN-GOOD AND SAYS SO.FIG. D — PLANE SEPARATION
What blocks and what only observes. The crossed edge is the dependency this separation exists to forbid.
WHAT I BUILTRISK

Built here.

  • 01

    A margin service that ingests the exchange's daily SPAN risk parameter files across every product family and computes span, exposure and premium components for a proposed position.

  • 02

    Basket margining that nets a multi-leg book properly, including the calendar-spread term across expiries — a hedged spread is not four times a single leg, and sizing off the naive sum wastes capital.

  • 03

    A what-if workbench: propose a book, see the margin and the charge profile before committing, under both proprietary and retail cost models.

  • 04

    Scheduled refreshes matching the exchange's intraday publication cycle, with an in-memory cache and a persisted fallback so a restart does not lose the day's risk arrays.

  • 05

    Commodity coverage alongside equity derivatives.

WHAT IT SURVIVESFAILURE MODES

Failure modes.

  • Risk files arriving late or in a changed shape, where the previous good set is retained rather than failing to a zero margin.
  • Contract metadata that disagrees between upstream dumps — identifiers are resolved as either integer or string because real dumps are not type-consistent.
  • A stale utilisation screen, which is acceptable; a stale gate answer, which is not.

Sizing without margin is how a desk finds out at 09:20 that it cannot afford the position it just entered.

STACKON THIS STAGE