I'm not aware of any "rules." I have an Inverness cape which hits me a bit below the knees. I have several overcoats which I wear also. They all are a little longer than the cape, although my covert coat and loden coat are knee length as well. Jest wear whatever keeps you warm. If iy is a dressy affair, wear what you would normally wear with a suit.

Regards,
Sandford MacLean