Limits Manager feature updates

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Over the past year, significant enhancements have been made across Limits Manager to expand market connectivity, strengthen automation and controls, and provide users with greater visibility and flexibility when managing trading limits.

Users are now able to manage limits across a broader range of venues through new integrations with Coinbase, B3, Eurex T7, Eurex C7, and QST. These additions expand coverage across global markets and asset classes, enabling firms to manage risk and trading activity from a single platform.

The latest release also introduces a range of enhancements designed to improve governance and operational efficiency. Users can now create restricted product lists to prevent unauthorised products from being included in limit change requests, validate limits against parent account thresholds, and leverage global limit thresholds and account tiering within automated workflows. Additional automation capabilities enable requests to be automatically rejected when predefined conditions, such as excessive order quantities, are met, helping organisations enforce controls more consistently.

Further improvements have been made to connectivity, administration, and user experience. The Fidessa REST API has been expanded to support all limit types and levels, while a new customer-facing API provides clients with direct access to their data. Users can now manage CME broker permissions, view broker permissions on ICE, and benefit from support for CME OAuth authentication. Enhanced interface features, including account hierarchy visibility and additional limit change indicators, provide greater transparency during the review and approval process. In addition, ineligible approver functionality helps strengthen segregation of duties by preventing selected approvers from taking action on requests they should not review.

Risk Manager feature updates

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Over the past year, significant enhancements have been made across Risk Manager to provide users with deeper risk insights, more powerful portfolio analysis capabilities, and an improved user experience.

Users are now able to perform more comprehensive portfolio analysis and risk assessment through enhancements to what-if analysis, risk reporting, position analytics, and margin management capabilities.

The latest release introduces a streamlined scenario creation experience, dedicated account-level analysis, and collaborative access controls, enabling teams to more effectively model potential market outcomes and evaluate portfolio impacts. Enhanced risk reporting provides deeper visibility into stress testing results through stress report V2, historical VaR (Value at Risk) analysis, component VaR reporting, and per-bucket stress insights, helping users better understand and monitor risk exposures.

Users can also benefit from expanded position analytics, including alternative P&L, options Greeks, and At-The-Money/In-The-Money metrics, alongside advanced filtering and usability improvements that make it easier to investigate and analyse data. Additional margin enhancements, including JSCC margin support and dashboard improvements, provide greater transparency into margin requirements and support more informed decision making.

Surveillance Manager feature updates

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Over the past year, significant enhancements have been made across Surveillance Manager to expand market abuse detection capabilities, improve alert quality, and strengthen the reliability and transparency of surveillance operations.

Users are now able to monitor a broader range of trading behaviours through the introduction of new surveillance analytics, including alerts for Cancellation Rate activity, Block Trade Booking Delays, Spoofing and Layering across global trading sessions, and enhanced Abusive Squeeze detection. These additions extend surveillance coverage across markets and asset classes, helping firms identify and investigate potential market abuse scenarios more effectively.

The latest release also delivers substantial improvements to existing surveillance models and analytics. Enhancements to Insider Trading, Momentum Ignition, Marking the Open, Pump & Dump, and Painting the Tape detection models, combined with statistical profiling, threshold tuning, and multiplier controls, improve alert accuracy while reducing false positives. Additional support for microsecond and nanosecond precision was introduced across several surveillance analytics, further strengthening monitoring capabilities.

In addition, a range of platform and usability improvements have been introduced to support day-to-day surveillance activities. Enhancements to order book visualisation, market depth handling, and order type identification provide greater transparency during investigations, while expanded model availability and dedicated support for OTC FX surveillance broaden coverage across deployment environments. Platform reliability has also been strengthened through improved API and backend alignment, enhanced real-time analytics stability, and the re-establishment of automated regression testing, helping ensure a consistent and dependable surveillance experience.

Tailored Trade Surveillance: How Client Collaboration Drives Our Innovative Alerts

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In the ever-evolving world of financial markets, surveillance systems must be as dynamic and adaptable as the environments they monitor. At KRM22, we pride ourselves on being a flexible trade surveillance provider with an agile development team that listens to our clients and delivers solutions tailored to their unique needs.

One of our recent projects exemplifies this approach: the design of a new alert focused on monitoring Dealer-to-Dealer (D2D) trading within an orderbook environment. This alert, a specialized version of our *Marking the Close* alert, was developed in close collaboration with one of our clients, ensuring it precisely meets their specific requirements.

Understanding the Unique Needs of Our Clients

The challenge in creating this alert was to accurately reflect the trading behaviours and protocols that are unique to the client’s marketplace. Operating as a Multilateral Trading Facility (MTF) and facilitating Orderbook-based D2D trading, the client required an alert with tailored logic that could account for the complexities of their specific trading environment.

Through and deep-dive discussions, the client shared the exact activities they wanted to monitor, including the specific closing times, closing periods, and pre-closing periods that are critical for detecting potential market manipulation. The diversity of fixed-income products traded, such as yield-quoted bonds, switches, and Exchange for Physicals (EFPs), added another layer of complexity that our system needed to address.

Customizing Alerts with Flexibility and Precision

Our Product team worked closely with the client to customize the alert, leveraging the flexibility of our platform to accommodate the various nuances of their market. This tailored solution allows users to configure the alert with greater control, enabling them to focus on the specific trading behaviours that are most relevant to their surveillance needs.

The result is an alert that not only aligns with the client’s distinctive market structure but also incorporates the core elements that make our Marking the Close alerts effective. By integrating the client’s feedback into the alert’s design, we were able to deliver a solution that provides robust monitoring capabilities while minimizing false positives.

A Proven Approach Backed by Experience

Our collaborative approach ensures that each alert we develop is not just another generic tool, but a finely tuned instrument designed to meet the specific needs of the market it serves. New clients can now benefit from these innovations, leveraging alerts that have been refined and enhanced by their peers in the marketplace. This commitment to customization and client satisfaction is what sets us apart as a trade surveillance provider.

Partnering for Success

As the financial markets continue to evolve, we remain dedicated to partnering with our clients to develop solutions that address their unique challenges. Our agile development process allows us to respond quickly to client needs, delivering tailored alerts that empower them to monitor trading activity with confidence.

Whether you are looking to enhance your existing surveillance capabilities or need a bespoke solution designed from the ground up, KRM22 is here to help. Together, we can build the tools you need to stay ahead in a complex and fast-moving market…Risk As Alpha.

Testimony from client:

“KRM22 Market Surveillance has significantly transformed our compliance processes, automating complex tasks and reducing the burden of manual work.

What truly sets KRM22 apart is not just its user-friendly interface and features, but the genuine commitment of their team. From our initial interactions, it was evident that they were not solely focused on selling us a solution but were genuinely invested in understanding and solving our unique challenges. Their dedication to addressing our specific needs has been truly exceptional.

KRM22 has provided the tools and support we need to navigate the complexities of regulatory compliance in the fixed income and derivatives markets.”

Head of Surveillance, at the leading electronic marketplace for fixed income.

Keeping up with regulation by enhancing the Marking the Close alert

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While we already have a “Marking the Close” alert which monitors closing period activity, the new Closing Lookout Alert is a powerful enhancement to our trade surveillance platform, offering users additional flexibility to calibrate the monitoring of the trading activity during the closing period of a market.

Key Features

Customizable Time Periods: Users can customize the closing, pre-closing, and post-closing periods according to their specific requirements. This flexibility allows for tailored monitoring based on individual market dynamics.

24/7 Coverage for Crypto Markets: In recognition of the continuous nature of cryptocurrency markets, our Closing Lookout Alert supports crypto markets by enabling users to select a proxy closing time, ensuring effective surveillance of crypto ETFs.

Regulatory Context

Our Closing Lookout Alert aligns with regulatory guidelines set forth in Regulation (EU) No 596/2014, also known as the Market Abuse Regulation (MAR), ensuring our customers meet compliance requirements. This alert directly addresses the practices outlined in MAR, including:

Concentrated Trading: Monitoring of trading activity during the closing period to detect any abnormal concentration of trades.

Price Movements: Observing price movements in conjunction with trading volume to identify potential manipulative behavior.

The Closing Lookout Alert exemplifies our dedication to innovation and regulatory compliance, providing an essential tool for detecting and deterring market abuse. With the introduction of Digital Asset ETFs trading in January 2024, our customers are equiped with the ability to monitor trading actrivity during the closing period, safeguarding fair and orderly markets.

 

For more information contact our sales team.

Automated Actions in Limits Manager

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KRM22 Limits Manager is expanding functionality into Automated Actions. Allowing for the logical review of a limit change request to decide how it is moved through the review process for final Approval and implementation.

Limits Manager is now able to examine a limit change request to determine how an individual Limit Update Request is handled. This has two major applications.

  1. Immaterial limit change requests can be processed with limited visibility. Meaning that a small limit change request on a trusted trading account can be implemented with limited or no manual review at all.
  2. Significant limit change requests containing changes to volatile instruments, margin implications, open market considerations, or on less reliable accounts can be driven to a more conservative approval workflow requiring intensive review.

The purpose of this is to relieve risk managers from their inconsequential tasks and allow them to focus on the material decisions that require the most attention.

Talk to us to find out more. 

System Event Dashboard

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Users are now able to visualize and investigate trends in risk events through the Event dashboard, one in a series of system dashboards available out of the box.

The System Event Dashboard provides users with the ability to understand how the trend in events both in type and severity has varied across time. Providing a clear indication if risk mitigating actions are having their expected impact. Directly from the dashboard users can understand the root cause, impact and remediation of an event allowing them to take relevant action.

Each user can easily ensure they have the information they require on the dashboard by saving a custom view which can be shared with their team. This results in easy investigation and collaboration.

New Alert: Abnormal Message per Participant

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If a firm has multiple clients of different sizes trading the same product, the original Abnormal Message alert may miss genuine cases. If there is a group of small clients who trade a product in much smaller lots and a group of big clients trading the same product in much larger sizes, the generic alert will continue to fire on the big clients. This alert has been refactored to detect abnormal behavior on Participant/Product level. The old logic has been kept intact with a “Matching Key” parameter added.

Multiple Trading Methodologies in Market Surveillance

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Traditionally, customers have been able to trade on either a Request for quote (RFQ) or a Central Limit Order Book (CLOB) based methodology. Each has different characteristics and nuances, which we are now seeing can apply to a single business.

To accommodate these business, we have redesigned the backplane of Market Surveillance to allow customers to store data and run analytic from multiple methodologies in one system. In addition to RFQ and CLOB, other protocols now supported includes Automated Market Maker (AMM) Exchanges and covers Anonymous Trading and Dark Pool techniques.

By avoiding the need for multiple instances, we can now make significant savings for our user base.

Insider Trading V3

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The new Insider Trading V3 is now available. Key improvements are:

Smoothed Price move calculation

The new version now handles outliers where one erroneous message with price significantly away from the average causes false triggers to occur. The delta from average is configurable per instance of the alert.

Grouping Trades and Orders

The V3 alert now groups the total value of all partial fills from a single parent order into a single figure which is then compared to the and the Large Value Threshold. When run against orders, the alert will focus only on unexecuted orders to avoid duplicates. This helps reduce false positives and saves time for compliance analysts.

Alert Suppression

Insider Trading now suppresses alerts where the suspicious trades or orders were at a less profitable price. For example, an early day buy of 10 lots at $100 where the instrument closes at $90. The next day sees a news triggered jumps of 10% ($99). The alert will not trigger because the original price was higher than the news triggered jump and so no profit was made. This functionality is optional and can be turned off to track failed insider trading attempts. Additionally, the alert can be run in the sandbox to assess the effect of turning it on or off against known data.

Potential profit calculation

The alert now makes a calculation of potential profit or avoided loss based on the sum of all the fill price and volumes, as well as the price movement in the market. This calculation can then be compared against a customizable value to give an indication of the scale of the insider trading.