gtat-tech-career-kickstarter-main/solution/proto/risk_limits.proto

syntax = "proto3";
package optiver.exchange.risk_limits;

message RollingWindowLimit {
    int32 limit = 1;
    int32 window_in_seconds = 2;
}

message UserRiskLimits {
    int64 max_outstanding_quantity = 1;
    RollingWindowLimit message_rate_rolling_limit = 2;
}

message InstrumentRiskLimits {
    int64 max_outstanding_quantity = 1;
    double max_outstanding_amount = 2;
    RollingWindowLimit order_quantity_rolling_limit = 3;
    RollingWindowLimit order_amount_rolling_limit = 4;
}

// ------------------------------------------------------------
// Requests accepted by this service
// ------------------------------------------------------------

message GetUserRiskLimitsRequest {
    int64 request_id = 1;
}

message GetUserRiskLimitsResponse {
    int64 request_id = 1;
    string error_message = 2;

    UserRiskLimits user_risk_limits = 3;
}

message SetUserRiskLimitsRequest {
    int64 request_id = 1;
    UserRiskLimits user_risk_limits = 2;
}

message SetUserRiskLimitsResponse {
    int64 request_id = 1;
    string error_message = 2;
}

message GetInstrumentRiskLimitsRequest {
    int64 request_id = 1;
}

message GetInstrumentRiskLimitsResponse {
    int64 request_id = 1;
    string error_message = 2;

    map<string, InstrumentRiskLimits> risk_limits_by_instrument = 3;
}

message SetInstrumentRiskLimitsRequest {
    int64 request_id = 1;
    string instrument_symbol = 2;
    InstrumentRiskLimits instrument_risk_limits = 3;
}

message SetInstrumentRiskLimitsResponse {
    int64 request_id = 1;
    string error_message = 2;
}