Here are some ideas: - throttle your orders to the market - set a threshold for market risk you can take per symbol, per sector, etc. - take into considerati

Here are some ideas: - throttle your orders to the market - set a threshold for market risk you can take per symbol, per sector, etc. - take into consideration average daily volume of a symbol for calculating market risk threshold - implement controls to send cancels for unfilled orders in the event if algo goes haywire - reject orders priced at some percentage less or more than current market price per share