Table of contents:
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1. Cancelled trades - Global
This alert looks at public data for supported bonds and shares. If the cancelled flag is set to true on the trade, an alert will be generated.
Parameters:
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2. Large order value shares - Global
This alert checks all orders in supported shares denominated in ISK.
Parameters:
Active
Large order value shares
Limits:
Alerts available for order value of 70 million ISK and higher.
| Info |
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Calculation of order value for shares: Price of order * Quantity of order = Value of order |
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3. Large order value shares ISK - Private
Connects to private data service and finds all new orders where price and quantity are set. Detects orders where order value in ISK is higher than the limit.
Parameters:
Active
Order value shares ISK
Limits:
Order value shares ISK needs to be higher than 20.000.000 ISK
| Info |
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Calculation of order value Price * Quantity = Order Value |
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4. Spoofing short lived large share orders - Private
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Spoofing is generally thought of as the practice of entering orders not intended to execute. This alert is designed to detect large orders that do not execute and do not stay in the market for long and is well suited for illiquid markets dominated by manual traders.
Parameters:
Active
Maximum age of an order in seconds
Limits:
Maximum order age for the alert to be generated is 20 minutes.
Orders are considered large if their value exceeds:
20.000.000 ISK
150.000 DKK
200.000 SEK
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| Info |
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Calculation of order age Timestamp of successful cancellation of an order - Timestamp of order entry = Order age |
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5. Momentum ignition shares - Public
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For every trade that is aggressive, a certain “momentum” state is established. If conditions on continuous trading in the same direction are met then an alert will be generated if the share is traded at at least 1% higher/lower price than the aggressive trade that set the “momentum” state in the first place.
Parameters:
Active
Significant percentage change
Limits:
Continuous trading can be interrupted before the price change reaches 1% by:
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6. Momentum ignition shares - Private
Does the exact same thing as the public momentum alert above except it checks to see if the aggressive party on a trade that causes a market move is the relevant member.
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7. Large order value shares DKK - Private
Connects to private data service and finds all new orders where price and quantity are set. Detects orders where order value in DKK is higher than the limit.
Parameters:
Active
Order value shares DKK
Limits:
Order value shares DKK needs to be higher than 150.000 DKK
| Info |
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Calculation of order value Price * Quantity = Order Value |
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8. Large order value shares SEK - Private
Connects to private data service and finds all new orders where price and quantity are set. Detects orders where order value in SEK is higher than the limit.
Parameters:
Active
Order value shares SEK
Limits:
Order value shares SEK needs to be higher than 200.000 SEK
| Info |
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Calculation of order value Price * Quantity = Order Value |
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9. Off market trade report - Private
Connects to a public market data service and finds all trade reports where the relevant member is on either side or both. If there is no best bid or no best ask in the market for the relevant share or bond then an alert will be raised.
Parameters:
Limits:
This alert is only relevant to trade reports or non-standard trades. It is assumed that the exchange does not allow for off market standard trades.
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Determining best bid and best ask at any given time All new orders and order cancellations along with all non-standard trades are gathered in a list ordered by timestamp. Starting from the first item in the list a book is maintained where orders are entered into the book on newly inserted orders or removed from the book on cancels. On each item the status of the book is recorded.
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10. Possible wash trade - Private
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Optionally, you can set the Exclude trader parameter to a specific Trader ID. Setting this parameter filters out all alerts where this Trader ID is on both sides.
Parameters:
Active
Exclude trader (optional)
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11. Large standard trade shares ISK - Private
Connects to private market data source and finds large standard shares trades in terms of value.
Parameters:
Active
Large trade value shares ISK
Limits:
For an order to be considered large it needs to be of at least 20.000.000 ISK in value
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12. Large standard trade shares DKK - Private
Connects to private market data source and finds large standard shares trades in terms of value.
Parameters:
Active
Large trade value shares DKK
Limits:
For an order to be considered large it needs to be of at least 150.000 DKK in value
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13. Large standard trade shares SEK - Private
Connects to private market data source and finds large standard shares trades in terms of value.
Parameters:
Active
Large trade value shares SEK
Limits:
For an order to be considered large it needs to be of at least 200.000 SEK in value
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14. Price improvement shares - Private
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The idea is to catch trades where the member is on both sides of a trade and one side loses a significant amount of money on that trade based on closing price marking of the relevant day.
Parameters:
Active
Significant percentage change
Limits:
The minimum price change for it to be significant is 0.5%
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15. Cancelled standard share trades - Private
Connects to private market data source and finds all trades that are marked as cancelled.
Parameters:
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16. Cancelled standard bond trades - Private
Connects to private market data source and finds all the trades that are marked as cancelled.
Parameters:
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17. Broken trade reports shares - Private
Connects to a private market data source and finds all the trade reports that have the status “Broken” and have therefore effectively been cancelled.
Parameters:
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18. Broken trade reports bonds - Private
Connects to a private market data source and finds all the trade reports that have the status “Broken” and have therefore effectively been cancelled.
Parameters:
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19. Proprietary crossing standard - Private
Connects to a private market data source and checks the counter-party on each trade. If the counter-party is the member himself then checks to see if the capacity of the executing orders are set to either “Market Maker” or “Own Account” on both sides of the trade.
Parameters:
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20. Possible insider trading shares - Private
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In the case where we have a “potentially market moving news item”, the system connects to a private market data services and finds all standard trades in the “right” direction executed by the member in the preceding 5 days (including weekends and holidays) before the release. An alert will be raised for each of those trades. In the case where multiple news items are combined into one, all trades before latest news item will be checked.
Parameters:
Active
How many days before news item to look for trades in
What constitutes as a large price change
| Status |
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| colour | Yellow |
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| title | percentage |
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Limits:
Significant price change following the notification’s release has to be at least 1%.
The farthest we will go back in time to look for trades before a release is 5 days (including weekends and holidays).
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21. Possible frontrunning standard shares ISK - Private
Connects to private market data source and finds large trades executed by the relevant member. The system will then look for smaller trades on the same day in the same direction.
Parameters:
Active
Large trade value in ISK
How many minutes before large trade to look for trades in
Limits:
Minimum size for a large trade is 20.000.000 ISK
The preceding trades have to happen on the same day and be standard trades.
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22. Possible frontrunning standard shares DKK - Private
Connects to private market data source and finds large trades executed by the relevant member. The system will then look for smaller trades on the same day in the same direction.
Parameters:
Active
Large trade value in DKK
How many minutes before large trade to look for trades in
Limits:
Minimum size for a large trade is 150.000 DKK
The preceding trades have to happen on the same day and be standard trades.
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23. Possible frontrunning standard shares SEK - Private
Connects to private market data source and finds large trades executed by the relevant member. The system will then look for smaller trades on the same day in the same direction.
Parameters:
Active
Large trade value in SEK
How many minutes before large trade to look for trades in
Limits:
Minimum size for a large trade is 200.000 SEK
The preceding trades have to happen on the same day and be standard trades.
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24. Possible frontrunning standard bonds - Private
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Connects to private market data source and finds large trades executed by the relevant member. The system will then look for smaller trades on the same day in the same direction.
Parameters:
Active
Large trade value in ISK
How many minutes before large trade to look for trades in
Limits:
Minimum size for a large trade is 300.000.000 ISK
The preceding trades have to happen on the same day and be standard trades.
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25. Multiple entry/deletion/amendments of orders - Private
Connects to private market data source and counts new orders, replacements and cancellations of orders in a rolling one hour window. If the number of actions exceeds 5 then an alert will be generated. Does not look at order actions with capacity market_maker or own_account.
Parameters:
Active
Order change volume
Limits:
Minimum setting for order change volume is 5
Will always look at a rolling window of one hour.
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26. Large order value bonds - Private
Connects to private data service and finds all new orders where price and quantity are set. Detects orders where order value in ISK is higher than the limit.
Parameters:
Active
Order value bonds ISK
Limits:
Order value bonds ISK needs to be higher than 300.000.000 ISK
| Info |
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Calculation of order value for bonds Price * Quantity / 100 = Order Value
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27. Large standard trade bonds ISK - Private
Connects to private market data source and finds large standard bonds trades in terms of value.
Parameters:
Active
Large trade value bonds ISK
Limits:
For an order to be considered large it needs to be of at least 200.000.000 ISK in value
| Info |
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Calculation of trade value for bonds Price * Quantity / 100 = Trade value |
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29. Multiple entry/deletion/amendments of orders per trader - Private
Connects to private market data source and counts new orders, replacements and cancellations of orders in a rolling one hour window. If the number of actions exceeds 5 for a single trader then an alert will be generated. Does not look at order actions with capacity market_maker or own_account.
Parameters:
Active
Order change volume
Limits:
Minimum setting for order change volume is 5
Will always look at a rolling window of one hour.
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30. Possible market maker quote with hedges - Public
Detects trade reports that possibly represent quotes made by market makers to brokers.
Parameters:
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31. Possible closing price manipulation shares - Private
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If the member is responsible for the final price changing trade (is on the buy side if increase and sell side if decrease) and all the remaining trades at the same price, an alert will be generated. The alert will have information on how long before the close of the market that trade happened and how big the price change was.
Parameters:
Active
Minutes before close.
Significant percentage change.
| Status |
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| colour | Yellow |
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| title | Percentage |
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Limits:
There is no limit on minutes before close. You can set it to as much as you like but the trades will all be on the same trading day.
Significant percentage change can be 0 or more.
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32. Possible closing price manipulation bonds - Private
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Based on private data information, if an order is entered that matches the closing price, an alert is raised based on that order even though it might not be the order that determines the closing price. A long with the order, a measure of time before the close of the trading day is recorded for filtering purposes.
Parameters:
Active
Minutes before close.
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33. Off market trade report - Public
From public data, detects trade reports that are not in the spread
Parameters: