CTS now offers automatic liquidation as a feature for futures accounts. Options are not currently supported for auto liquidation. This feature requires a set of auto liquidation triggers to be configured for the firm and auto liquidation settings to be configured for each contract, after which individual accounts can be placed in auto liquidation mode. All accounts that remain in ByPortfolio, ByAccount, etc. will be unaffected by auto liquidation. All contracts with auto liquidation disabled will be unaffected by auto liquidation, but their contribution to margin, P&L, etc. will still count against the account and may trigger auto liquidation in products where auto liquidation is enabled.

• Insufficient Margin (required)
  • If an account’s Total Cash value ever drops below 0, the account will be auto liquidated for Insufficient Margin. This may occur because of negative P&L, changes to account balance, changes to margin e.g. moving from day margin to full margin, etc.
• Loss Limit Exceeded
  • If an account’s configured Loss Limit is exceeded, the account will be auto liquidated.
• Minimum Equity
  • If an account’s Total Cash value ever drops below its Minimum Net Equity Warning level, the account will be auto liquidated. This may occur because of negative P&L, changes to account balance, changes to margin e.g. moving from day margin to full margin, etc.
• Market Close
  • If a contract is configured to not allow carrying a position overnight, then that position will be auto liquidated for any accounts with auto liquidation enabled that have orders or positions in that contract. This time is configurable at the contract level.
• Market Expiration
  • If a contract is configured to not allow new positions within X hours of expiration, then that position will be auto liquidated for any accounts with auto liquidation enabled that have orders or positions in that contract. This time is configurable at the contract and the account level.
• Daily Price Limits
  • If a contract is configured to not allow long (short) positions too close to limit down (up), then that position will be auto liquidated for any accounts with auto liquidation enabled that have the appropriate orders or positions in that contract when the price is within X ticks of limit up or down. This tick range is configurable at the contract level.

• Pre Trade Margin PC
  • This is the percentage of the exchange margin value that is required for an order to pass through pre-trade risk checks. This is usually set to a higher value than the Day Trading Margin PC in order to avoid immediate auto liquidation upon an order being filled.
• Day Trading Margin PC
  • This is the percentage of the exchange margin value that will be applied during the day trading period. This period is configurable at the contract level.
• Overnight Margin PC
  • This is the percentage of the exchange margin value that will be applied during the Alert Period. This is typically set to 100% so that full margin is applied prior to the close. The Alert Period is configurable at the contract level.

• Time Before Close
  • The duration in HH:MM:SS prior to the close of trading for the contract when auto liquidation should occur if positions in this contract are to be liquidated before the close of trading. Note that if used, this will trigger auto liquidation whether the account has sufficient funds for overnight margin or not.
• Hard Cutoff
  • The time of day in HH:MM:SS when auto liquidation should occur if positions in this contract are to be liquidated before the close of trading. Note that if used, this will trigger auto liquidation whether the account has sufficient funds for overnight margin or not.
• Alert Period
  • The duration in HH:MM:SS prior to the close of trading (or prior to the Time Before Close, if configured) for the contract when margin should switch from Day Margin to Overnight Margin. These margin percentage values are configured at the firm level.
• Ticks Before Price Limit
  • The number of ticks within limit up or down for a market to be trading for the position to be auto liquidated. Note that this will trigger auto liquidation for long (or potentially long) positions near limit down and for short (or potentially short) positions near limit up.

• Account Mode
  • This must be set to AutoLiq in order for any auto liquidation to occur for the account.
• Minimum Net Equity Warning
  • This is the minimum net equity required prior to auto liquidation occurring.
• Loss Limit Settings
  • If any of the Loss Limit settings are configured for the account and if Loss Limit Exceeded is enabled at the firm level, then auto liquidation will occur when any of the configured Loss Limit values have been breached.

• If auto liquidation flattens a position in a market, it will also cancel all working orders in that market.
• If auto liquidation cancels any working orders in a market, it will cancel all other working orders in that market and flatten the position in that market, if present.
• Flattening a position is “all or nothing,” meaning if an account is long 10 contracts in one market but can now only afford 9 contracts, all 10 contracts of the position will be liquidated and all working orders in that market will be canceled.
• Auto liquidation being triggered in one market does not necessarily trigger auto liquidation in another market.
• No spread credit will be applied across markets for margin purposes.
• Each market has an individual margin calculation and all markets aggregate to an account level margin.
• Working orders contribute to margin requirements if and only if they are adding to an existing position or would flip and increase an existing position. For example, long 2 and working 1 buy will be charged margin on 3 contracts. Long 2 and working 4 sells will only be charged margin on 2 contracts.
• If a market is closed, we will not attempt to liquidate it. We will continue to charge the account the full (initial) margin until the market re-opens.