This month, we have developed two new alerts for our customers in the Fixed Income space: Quote away from Stream and Quote away from Composite.
The Quote away from Stream alert checks if the Dealer quotes a better/worse price to the client’s RFQ compared to the price it was streaming right before.
Similarly, the Quote away from Composite alert checks if the Dealer quotes a better/worse price to the Client’s RFQ compared to the composite price.
These alerts will catch dealers who consistently stream an attractive price to allure clients and subsequently quote a worse price
Find out more about why we released these features in our blog
Market Surveillance has been enhanced with improvements to the Ramping and Creation of a Floor/Ceiling alerts
Ramping
The ramping alert can now look for opposite side trades after the price ramp to check if the trigger participant benefited from the price move. In addition, compliance officers can now restrict the time window after a detected ramp in which to look for an opposite side trade as well as selecting the source or segment on which will trigger.
Creation of Floor/Ceiling V2
The creation of a floor or ceiling pattern is detected by evaluating, over a rolling time window, the increase in relative volume of a market participant over a certain threshold, whilst retaining the price at a certain level, below a specified standard deviation with that rolling time window. When configured with a market data source or segment, the trigger participant’s volumes are compared to the entire market’s trading volume during the rolling window. The alert only triggers when this ratio breaches a user defined threshold.
Pump and dump is a scheme that attempts to boost the price of a security through misleading and exaggerated statements. After driving up the price of a security, the perpetrators of this scheme will reverse their positions at a higher price than the security was when they purchased it. Trash and Cash is the reverse pattern, pushing down a security, buying low and selling high, once the price has normalised.
Our new Pump and Dump/Trash and Cash alert will be a day analytics with no inter-day lookbacks focusing primarily on Equity and ETD markets. After receiving feedback from several clients, we have made significant improvements to the underlying alert logic, including referencing market data to further weed out false positives.
The new alert detects any significant increase in market volumes and then checks for significant market price increase/decrease from the previous intervals. Users can control both these parameters with customised thresholds.
The alert then checks for Buy and Sell trades prior to the detected interval by the same participant and calculates net Buy (Pump)/Sell (Trash) positions. These net positions are then cross checked with their closing positions in the ‘dump’ or ‘cash’ period to see if there was any potential profit made. These net positions are also used to check if these trades were significant enough to move the market.
KRM22 is pleased to announce the release of its new Market Intelligence (MI) Dashboards for its Market Surveillance tool which will be available to all KRM22 Surveillance customers on the Global Risk Platform. The Dashboards are designed to present important surveillance KPIs in a single place, share insights with c-level executives in an effective way, and allow the management to make quick and data-driven decisions based on real-time information.
The information gained will empower senior compliance staff and managers to get a clearer picture of their surveillance operations, identify trends, determine what kind of KPI management improvements are needed, and generate actionable insights across their surveillance program. We have prepared 2 standard management dashboard templates that can be used to further develop more personalized dashboards suited to our client’s specific business needs.
The Alerts Dashboard gives an overview of alerts raised in the last business day broken down by Alert type (Insider Trading, spoofing etc) in a pie-chart alongside a trending line chart for preceding week which quickly allows customers to capture any suspicious trends arising in trading behaviour. Users can also drill down into alerts to identify the players that triggered them and the instruments they triggered on.
The Participant Dashboard gives a high-level summary of the alert activity of market participants including Traders, Accounts, Clients and others. A trending line chart of your top 10 Accounts/Traders can quickly help identify consistent suspicious behavior by certain individuals and help management keep a keener eye on such individuals.
We believe that these dashboards, can not only help catch market abuse, but also help prevent it by picking up on unusual patterns. Putting clear, actionable information into the hands of senior compliance staff and management.
If you wish to know more about how to get access to these dashboards, please get in touch with Rishav Bose (rishav@krm22.com) or Dan Carter (dan@krm22.com).
This month we have enriched the available data across Alerts and Case Management to give users greater insight and flexibility when analysing activity. We have also expanded the available data sets that can be exported to support better reporting of business intelligence.
Alert Details report now enriched with the “Conclusion” field
The Alert details report is a widely used feature and lets users extract a detailed reporting of alerts broken down by type, trader, security, instrument type and so on. Following customer feedback, we have now added the “conclusion” field to this report. The conclusion field contains the comments of the analyst who closed the alert and is quite important in determining why the alert was closed and maintaining a proper audit trail.
Additional Categories within the Alert & Cases Status and Classification dropdowns
We have added additional options to our alerts and case status drop-down menus. Additionally, we have made these drop-down choices customisable giving the users more flexibility when it comes to their case management workflows.
Data View – Export DailyTotals
Users can now export the data in the Daily Totals window. The daily totals button in DataView brings up a box which displays message totals by count, volume and value. This summary can provide helpful insight into trading activity, for example, showing lists for the top 10 securities/brokers/clients/traders by count, volume and value, and can be used to provide important business intelligence to management.
If you have any questions or would like a demonstration of the new features please reach out to Rishav@krm.22.com.
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.
In the latest release, we have invested heavily in evolving and providing additional functionality to our order book replay and trade reconstruction, known as the “Order View” module within the KRM22 Market Surveillance application. The “Order View” enhancements provide even further context and indicators to users when investigating potential cases of market abuse.
The key additions are as follows:
Additional data fields and history for each order being “replayed” in the sequence to provide an even greater level of detail and understanding of the events being investigated.
Incorporation of level 2 market data alongside level 1 market data and the flexibility to configure the relevant levels of market depth required for the “replay” on a per playback basis.
The above features significantly enhance the “Order View” functionality within the application allowing users to configure a custom level of market depth relevant to their investigation, based on liquidity at the time, instrument or client etc along with providing more data points for each order to be able to easily identify the orders owner and what the intentions behind that order could have been by being able to view the full lifecycle of the order in one view.
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.
Figure 1 – New spoofing by Order Depth alert parameters. The new release includes the addition of the Volume Depth Multiplier and Price Deviation Threshold.
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.
