> I wonder what these "fast-twitch" sanity checks / circuit breakers look like. Whenever I try to model risk, things get complicated quickly -- but presumably s

> I wonder what these "fast-twitch" sanity checks / circuit breakers look like. Whenever I try to model risk, things get complicated quickly -- but presumably simple heuristics must exist if they became universal in the industry. You're right, they are very simple. Think things like orders per second, quantity of order, price of order, notional ordered over time, etc. You basically want to ensure things aren't "too big" or "too fast" as simply as possible. Other types of risk (portfolio risk, greek risk, etc.) are handled in different ways, upstream of these final checks.