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Market Surveillance January 2021

Our Market Surveillance solution includes 50 Market Abuse and Operational alerts. Alerts have been carefully designed with algorithms and rules to improve the effectiveness of the suspicious trading alerts generated.

The latest release includes a new version of Spoofing alert. The new alert “Spoofing by Order Depth” incorporates the alert logic assessing spoofing behaviour against the complete market order book. The new Spoofing by Order Depth Alert is available in Market Surveillance release version 5.0.2.

Key features are as follows:

·        A new volume depth multiplier which enabled the user to set a value which allows the alert to evaluate how deep in the order book the order lies.

·        Flexibility to filter out orders that are too deep in the order book to have any considerable influence over price.

·        Inclusion of a price deviation threshold for those clients whose data does not have or allow for the calculation of each order depth when it lands on the order book. This parameter is set as a percentage and any orders deviating more than this percentage from the midpoint price are also excluded.

The above features significantly reduce the number of false positives and increase the effectiveness of our monitoring of spoofing behaviour.

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Figure 1 – New spoofing by Order Depth alert parameters. The new release includes the addition of the Volume Depth Multiplier and Price Deviation Threshold.

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Figure 2 – New spoofing by Order Depth alert. A representation of the alert details.
Figure 3 -New parameters allows orders close to the top of the book to be considered as potential spoofed orders.
Figure 4 – Example of a Spoofing Alert. Note highlighted incidences and alert icons.
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