The Disruptive Order model detects aggressive orders that instantly fill through multiple price levels. Causing rapid price moves by placing orders that are either too large or aggressively priced can be seen as disruptive trading behavior and may garner regulatory scrutiny. Disruptive Order scoring methodology Scoring of this model is primarily based on the number […]
Dominating the Close occurs when a single trader’s fills make up the majority of the market volume of an instrument during the final two (2) minutes of the market session. The Dominating the Close model in TT Trade Surveillance analyzes and scores clusters that may indicate that a single trader is dominating the total traded […]
Floor/Ceiling model detects a pattern of trading activity intended to maintain the price of an instrument during the trading session. The pattern reflects an attempt to prevent the instrument price from trading lower (creating a price ‘floor’) or higher (creating a price ‘ceiling’). To keep a price from moving through a particular price level, a […]
Front Running is an attempt to leverage insider knowledge of a future transaction to benefit from the impact to an instrument’s price. For example, a trader may submit their own trades before or after submitting a larger trade for one of their clients. The trader then benefits from the change in price due to the […]
The Influencing the Open model detects indirect wash trades that occur before open trading in violation of exchange rules, and looks for patterns of submitted and canceled orders that may be attempts to manipulate the indicative open price during the Pre-Open trading period. The model is designed to identify disruptive trading practices during Pre-Open trading […]
Marking the Close is a pattern of trading activity intended to manipulate the settlement price of an instrument during its settlement period. The Marking the Close beta model in TT Trade Surveillance detects potential settlement price manipulation in select CME outrights and spreads, and identifies on-exchange activity during settlement periods that may have influenced the […]
Momentum ignition trading patterns attempt to create directional price movement and then to capitalize on the result. Typically, momentum ignition is identified by a series of aggressive orders submitted in a short time span in an attempt to trigger resting stop orders, which then cause pre-placed orders to be executed at a profit by the […]
Pinging involves entering small orders to discover hidden book depth followed by a series of order actions designed to force the large order to trade at less desirable prices. Scoring methodology To detect potential pinging, TT Trade Surveillance looks for one or more series of small FOK (Fill Or Kill) orders (pings). After identifying a […]
Price ramping is an attempt to create directional price movement. The Price Ramping model can detect a series of aggressive orders submitted in a short time span that trade through multiple price levels on the same side of the market. Price Ramping scoring methodology To detect potential price ramping, TT Trade Surveillance searches for specific […]