Market Surveillance September 2022

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.