{"id":7210,"date":"2025-12-09T16:19:52","date_gmt":"2025-12-09T22:19:52","guid":{"rendered":"https:\/\/librarytestdev.wpenginepowered.com\/?post_type=doc&#038;p=7210"},"modified":"2026-01-23T11:26:06","modified_gmt":"2026-01-23T17:26:06","slug":"floor-ceiling","status":"publish","type":"doc","link":"https:\/\/library-test.tradingtechnologies.com\/tt-trade-surveillance\/core-models\/market-abuse-models\/floor-ceiling\/","title":{"rendered":"Floor\/Ceiling"},"content":{"rendered":"\n<p>Floor\/Ceiling model detects a pattern of trading activity intended to maintain the price of an instrument during the trading\n    session. The pattern reflects an attempt to prevent the instrument price from trading lower (creating a price\n    &#8216;floor&#8217;)\n    or higher (creating a price &#8216;ceiling&#8217;).<\/p>\n\n<p>To keep a price from moving through a particular price level, a trader can place one order or multiple orders on one\n    side (buy\/sell) of the market at a specific price level. These orders include a significant amount of the trading\n    volume relative to the normal amount for the\n    instrument. This reduces the likelihood that the market will move though that price.<\/p>\n\n<p>This approach may not result in profit within the particular instrument, however, it may be related to another\n    position that is tied to the price of this instrument. <\/p>\n\n\n\n<h2 id=\"scoring\">Scoring methodology<\/h2>\n\n<p>To detect a trader&#8217;s potential for creating a price floor or a price ceiling, TT Trade Surveillance analyzes the following data\n    during the trading period:<\/p>\n\n<ul>\n    <li>The low and high prices for the instrument during the trading session<\/li>\n    <li>Total market volume and percent of session volume traded at the high or low price<\/li>\n    <li>Trader&#8217;s volume at the high or low price level<\/li>\n    <li>Traders percentage of volume at the high or low price level<\/li>\n    <li>Trader&#8217;s percentage of market volume at the high or low price level<\/li>\n    <li>Trader&#8217;s percentage of passive trading at the high or low level<\/li>\n<\/ul>\n\n\n<h3 id=\"score\">Score interpretation<\/h3>\n<p>The score assigned to a cluster is based on a sliding scale between 0-100 using a weighted calculation. A score of 75\n    and above is a good indication that the suspect trading activity occurred.<\/p>\n\n<p>Based on TT Trade Surveillance best practices, clusters that score over 75 are deemed to be \u201chigh risk\u201d and should be the primary focus of users during their compliance reviews.<\/p>\n\n\n\n\n<h3 id=\"metrics\">Scorecard metrics<\/h3>\n\n\n<p>The Floor\/Ceiling cluster scorecard includes metrics that help you determine if price manipulation may have\n    occurred during the trading session.<\/p>\n\n<p><img decoding=\"async\" class=\"img-responsive\" src=\"https:\/\/library-test.tradingtechnologies.com\/wp-content\/uploads\/2025\/12\/floor-ceiling-metrics.png\"><\/p>\n\n\n<p>The following metrics are provided:<\/p>\n<ul>\n    <li>\n        <b>Session High<\/b> \u2014 The high price for the instrument during the trading session.\n    <\/li>\n    <li>\n        <b>Session Low<\/b> \u2014 The low price for the instrument during the trading session.\n    <\/li>\n\n\n\n    <li>\n        <b>Trdr Ssn Vol<\/b> \u2014 The volume of trader&#8217;s activity for the session.\n    <\/li>\n    <li>\n        <b>Trdr Ssn High Vol<\/b> \u2014 The volume of trader&#8217;s activity that matches the instrument&#8217;s high price for\n        the session.\n    <\/li>\n    <li>\n        <b>Trdr Ssn Low Vol<\/b> \u2014 The volume of trader&#8217;s activity that matches the instrument&#8217;s low price for the\n        session.\n    <\/li>\n\n\n    <li>\n        <b>Mkt Session Vol<\/b> \u2014 The total trading volume for the session.\n    <\/li>\n\n    <li>\n        <b>Trdr Ask Vol Pct Vs Trdr Ssn Vol:<\/b> \u2014 The percentage of ask volume compared to the trader&#8217;s total\n        volume for the session.\n    <\/li>\n\n    <li>\n        <b>Trdr Vol Vs Mkt Vol<\/b> \u2014 The trader&#8217;s percentage of volume for the total market volume.\n    <\/li>\n\n    <li>\n        <b>Trdr Pct High Vol Vs Mkt Vol<\/b> \u2014 The percentage of volume of trader&#8217;s activity that matches the\n        instrument&#8217;s high price for the session versus the total market volume.\n    <\/li>\n\n\n    <li>\n        <b>Trdr Pct High Vol Vs Trdr Ssn Vol:<\/b> \u2014 The percentage of volume of trader&#8217;s activity that matches the\n        instrument&#8217;s high price for the session versus the trader&#8217;s total volume for the session.\n    <\/li>\n\n\n\n    <li>\n        <b>Trdr Pct Agg Vs Ssn Fill<\/b> \u2014 Percent of trader&#8217;s aggressive trades versus the session fills.\n    <\/li>\n\n\n\n    <li>\n        <b>Trdr High Fill Vs VAP High:<\/b> \u2014 The volume of trader&#8217;s activity that matches the instrument&#8217;s high\n        price for the session versus volume-at-price (VAP) at the same price level.\n    <\/li>\n\n\n\n\n\n\n    <li>\n        <b>VAP High Prc<\/b> \u2014 The percentage of volume that matches the instrument&#8217;s high price.\n    <\/li>\n    <li>\n        <b>\n            Trd Cnt High Prc<\/b> \u2014 Count of fill or partial fill actions at the high\/low by the trader.\n    <\/li>\n\n\n<\/ul>\n\n\n\n<h2 id=\"id\">Identifying Floor\/Ceiling<\/h2>\n\n<p>In addition to the scorecard metrics, the Floor\/Ceiling chart and audit trail can also help identify suspicious\n    trading activity. The following image shows results from inspecting a Floor\/Ceiling trading cluster.<\/p>\n\n\n\n<p>When investigating Floor\/Ceiling clusters in TT Trade Surveillance, check for the following indications of potential price\n    manipulation:<\/p>\n\n<ol>\n    <li>Compare the trader&#8217;s ask\/bid volume percentage and the percent high\/low volume with the session volume.<\/li>\n    <li>In the chart, look for a high number of trades on one side (bid\/ask) of the market that matches the Session\n        high\/low price level.<\/li>\n    <li>\n        In the audit trail, check if the trades occurred at the high\/low price for the instrument.\n    <\/li>\n<\/ol>\n\n<p><img decoding=\"async\" class=\"img-responsive\" src=\"https:\/\/library-test.tradingtechnologies.com\/wp-content\/uploads\/2026\/01\/floor-ceiling-example.png\"><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Floor\/Ceiling model detects a pattern of trading activity intended to maintain the price of an instrument duri [&hellip;]<\/p>\n","protected":false},"author":2,"template":"","meta":{"_acf_changed":false,"footnotes":""},"docs-category":[486],"class_list":["post-7210","doc","type-doc","status-publish","hentry","docs-category-market-abuse-models"],"acf":[],"_links":{"self":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7210","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc"}],"about":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/types\/doc"}],"author":[{"embeddable":true,"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/users\/2"}],"version-history":[{"count":0,"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7210\/revisions"}],"wp:attachment":[{"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/media?parent=7210"}],"wp:term":[{"taxonomy":"docs-category","embeddable":true,"href":"https:\/\/library-test.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/docs-category?post=7210"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}