Vortex

Overview

Vetting Rules are described with a simple text-based language.

The basic form of a rule is result if condition, such as:

fail if order.side is Bid and order.value > balance.amount

Rules can be placed inside blocks, so they are only evaluated if a condition is met, such as:

run if order.side is Bid
{
  fail if order.value > balance.amount
}

Rules can provide a result code, allowing more visibility of which vetting rule was matched.

fail with InsufficientShares if order.side is Ask and order.quantity > holding.shares

Rules can be disabled, or documentation recorded, by using the # symbol

# This is not a rule, just a comment

fail if order.value > balance.amount # Comments can go after rules

# The following rule will not be evaluated
# fail with DisabledRule if a = b

Evaluation

Rules are evaluated one by one, from start to finish. Evaluation starts with an intermediate result of pass.

When the condition for a Rule is met, the result is applied to the intermediate result in the following manner:

• pass leaves the result unchanged.
• auth replaces pass.
• fail replaces pass or auth.

When all rules are evaluated, vetting supplies the final result, along with the result codes from all matching rules.

Conditions

A condition consists of one or more comparisons to perform that, when true, cause a rule to match.

Binary Conditions

Binary conditions are operations between two values, such as equals =, greater than > or less than <.

The Vetting Engine supports the following operators:

Operator	Description	Example
=	Equals	order.side = 'Buy'
is	Equals (shorthand)	order.side is Buy
<> or !=	Not Equal	balance.currency <> 'AUD'
is not	Not Equal (shorthand)	balance.currency is not AUD
>	Greater Than	order.value > 10000
>=	Greater Than or Equal	order.value >= 10000
<	Less Than	order.value < 10000
<=	Less Than or Equal	order.value <= 10000

There are also a set of operators with special requirements:

Operator	Description	Example
has	Does a property exist	holding has quantity
missing	Is a property missing	holding missing quantity
in	Is the value one of a list, or part of a string	order.type in ['Limit', 'MarketToLimit']
not in	Is the value not one of a list, or not part of a string	'I' not in symbol.attributes.Flags

Unary Conditions

Unary conditions are operations performed on a single value, such as not.

The Vetting Engine supports the following operators:

Operator	Description	Example
not	Not	not (order.side = 'Buy' and order.value > 100)

Combining Conditions

Conditions can be combined using boolean operators such as and.

fail if order.side is Bid and order.value > balance.amount

The Vetting Engine supports the following operators:

Operator	Description	Example
and	Match if both sides match	order.value > 100 and order.value < 1000
or	Match if either side matches	order.value > 100 or balance.currency is AUD
xor	Match if only one side matches	balance.amount > 1000 xor balance.currency is AUD

Conditions can also be organised using parenthesis.

fail if (order.side is Bid and order.value > 100) or (order.side is Ask and order.quantity > 200)

Representing Values

There are two types of values used by the Vetting Engine: pre-defined values, and vetting properties.

Pre-Defined Values

Conditions often have pre-defined values that are part of the rules themselves.

Numbers are represented in-text, both plain integers and fractional values: 1234 or 999.0001.

Text-based values, such as the order side or type, can be represented within single-quotes: order.type = 'Limit'.

Vetting also provides a short-hand for text values with the is and is not operators: order.type is Limit.

Values that can either be true or false are represented simply as true or false: security.isindex = true

Properties

Properties are values provided by the order management and market data systems to compare against.

Each property has a name, such as balance.currency, details.side.

Properties are case-sensitive. For example: balance.Currency is an invalid property.

Mathematical Operations

The Vetting Engine allows you to perform calculations with both pre-defined values and properties, such as 3 / 5, order.price * order.quantity * 10.

The Vetting Engine supports the following operators:

Operator	Description	Example
+	Addition	order.value + balance.amount
-	Subtraction	balance.amount - order.value
*	Multiplication	details.quantity * details.limit
/	Division	order.value / details.quantity
%	Modulus (Remainder)	details.quantity % 100
^	Exponent	details.quantity * 10 ^ 4
-	Negate	-order.value

Operators obey the normal order of precedence: Parenthesis, Exponent, Division/Modulus, Multiplication, Addition, then Subtraction/Negation.

More Info

• Ruleset Structure
• Standard State Data