Table of contents:

1. Cancelled trades - Global

ACTIVE BONDS SHARES PUBLIC

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:

• Active

2. Large order value shares - Global

ACTIVE SHARES GLOBAL

This alert checks all orders in supported shares denominated in ISK.

Parameters:

• Active BOOLEAN

• Large order value shares INTEGER

Limits:

• Alerts available for order value of 70 million ISK and higher.

3. Large order value shares ISK - Private

ACTIVE SHARES 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 BOOLEAN

• Order value shares ISK INTEGER

Limits:

• Order value shares ISK needs to be higher than 20.000.000 ISK

4. Spoofing short lived large share orders - Private

ACTIVE SHARES PRIVATE

Connects to a private data service and finds all new orders. Generates an alert if a cancellation is initiated by the trader and it is successful within 20 minutes of order entry.

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 BOOLEAN

• Maximum age of an order in seconds INTEGER

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

5. Momentum ignition shares - Public

ACTIVE SHARES PUBLIC STANDARD TRADES

Connects to public data service and collects all standard trades for a given day. While iterating through the trades, the alert generator spots aggressive trades to either buy or sell that are followed by continuous move in the same direction by the market.

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 BOOLEAN

• Significant percentage change DECIMAL

  • Example: 0.01 (for 1%)

Limits:

• Continuous trading can be interrupted before the price change reaches 1% by:

  • Time: If no trade happens for 1800 seconds.

  • Change of direction: If a trade happens at a lower/higher price or an aggressor trades in the other direction.

6. Momentum ignition shares - Private

ACTIVE SHARES PRIVATE STANDARD TRADES

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.

7. Large order value shares DKK - Private

ACTIVE SHARES 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 BOOLEAN

• Order value shares DKK INTEGER

Limits:

• Order value shares DKK needs to be higher than 150.000 DKK

8. Large order value shares SEK - Private

ACTIVE SHARES 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 BOOLEAN

• Order value shares SEK INTEGER

Limits:

• Order value shares SEK needs to be higher than 200.000 SEK

9. Off market trade report - Private

ACTIVE TRADE REPORT BONDS SHARES 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:

• Active BOOLEAN

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.

10. Possible wash trade - Private

ACTIVE BONDS SHARES STANDARD TRADES private

Connects to a private market data source and looks up all standard trades. If the same trader is on both sides of a trade, an alert will be raised.

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 BOOLEAN

• Exclude trader (optional) TEXT

11. Large standard trade shares ISK - Private

ACTIVE SHARES STANDARD TRADES private

Connects to private market data source and finds large standard shares trades in terms of value.

Parameters:

• Active boolean

• Large trade value shares ISK integer

Limits:

• For an order to be considered large it needs to be of at least 20.000.000 ISK in value

12. Large standard trade shares DKK - Private

ACTIVE shares standard trades private

Connects to private market data source and finds large standard shares trades in terms of value.

Parameters:

• Active boolean

• Large trade value shares DKK integer

Limits:

• For an order to be considered large it needs to be of at least 150.000 DKK in value

13. Large standard trade shares SEK - Private

Active shares standard trades private

Connects to private market data source and finds large standard shares trades in terms of value.

Parameters:

• Active boolean

• Large trade value shares SEK integer

Limits:

• For an order to be considered large it needs to be of at least 200.000 SEK in value

14. Price improvement shares - Private

Active shares private standard trades

Connects to private market data source and finds all trades where the relevant member is on both sides of a trade. If one side of the trade makes at least 0.5% based on the closing price for the day, two alerts will be raised, one for each side of the trade.

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 boolean

• Significant percentage change DECIMAL

  • Example: 0.01 (for 1%)

Limits:

• The minimum price change for it to be significant is 0.5%

15. Cancelled standard share trades - Private

Active shares standard trades private

Connects to private market data source and finds all trades that are marked as cancelled.

Parameters:

• Active boolean

16. Cancelled standard bond trades - Private

Active bonds standard trades private

Connects to private market data source and finds all the trades that are marked as cancelled.

Parameters:

• Active Boolean

17. Broken trade reports shares - Private

Active shares Standard trades 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:

• Active Boolean

18. Broken trade reports bonds - Private

Active bonds Standard trades 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:

• Active Boolean

19. Proprietary crossing standard - Private

Active bonds shares standard trades 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:

• Active boolean

20. Possible insider trading shares - Private

active shares standard trades private

Connects to public news source that carries all exchange notifications. Collects news items that are published between previous trading days close and current trading days close (ex. from friday at 15:30 until monday at 15:30) and combines them into a single potential market moving news event. Checks to see if the difference in closing prices from previous trading day to current trading day is at least 1%.

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 boolean

• How many days before news item to look for trades in integer

  • Establishes a window of time before the notification’s release.

• What constitutes as a large price change percentage

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).

21. Possible frontrunning standard shares ISK - Private

active shares private standard trades

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 boolean

• Large trade value in ISK integer

  • How big does a trade have to be for the system to look for frontrunning?

• How many minutes before large trade to look for trades in integer

  • Establishes a window of time before the large trade.

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.

22. Possible frontrunning standard shares DKK - Private

active shares private standard trades

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 boolean

• Large trade value in DKK integer

  • How big does a trade have to be for the system to look for frontrunning?

• How many minutes before large trade to look for trades in integer

  • Establishes a window of time before the large trade.

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.

23. Possible frontrunning standard shares SEK - Private

active shares private standard trades

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 boolean

• Large trade value in SEK integer

  • How big does a trade have to be for the system to look for frontrunning?

• How many minutes before large trade to look for trades in integer

  • Establishes a window of time before the large trade.

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.

24. Possible frontrunning standard bonds - Private

ARCHIVED shares private standard trades

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 boolean

• Large trade value in ISK integer

  • How big does a trade have to be for the system to look for frontrunning?

• How many minutes before large trade to look for trades in integer

  • Establishes a window of time before the large trade.

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.

25. Multiple entry/deletion/amendments of orders - Private

active shares bonds 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 boolean

• Order change volume integer

  • How many order changes need to happen in one hour?

Limits:

• Minimum setting for order change volume is 5

• Will always look at a rolling window of one hour.

26. Large order value bonds - Private

ACTIVE 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 BOOLEAN

• Order value bonds ISK INTEGER

Limits:

• Order value bonds ISK needs to be higher than 300.000.000 ISK

27. Large standard trade bonds ISK - Private

ACTIVE SHARES STANDARD TRADES private

Connects to private market data source and finds large standard bonds trades in terms of value.

Parameters:

• Active boolean

• Large trade value bonds ISK integer

Limits:

• For an order to be considered large it needs to be of at least 200.000.000 ISK in value

29. Multiple entry/deletion/amendments of orders per trader - Private

active shares bonds 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 boolean

• Order change volume integer

  • How many order changes need to happen in one hour?

Limits:

• Minimum setting for order change volume is 5

• Will always look at a rolling window of one hour.

30. Possible market maker quote with hedges - Public

active shares bonds TRADE REPORT

Detects trade reports that possibly represent quotes made by market makers to brokers.

Parameters:

• Active boolean

31. Possible closing price manipulation shares - Private

active shares private

In generating this alert, the system uses public data trade messages. The idea is to find the last trade of the day that establishes a new price that will influence the reported closing price of the day. If the price is higher than the previous price and the exchange member in question is on the buy side of the trade, then the alert is generated. If the price is lower and the member is on the sell side we also alert.

We start by finding all the trades for a given symbol that have the “updates_paid_last” flag set to True. Then we iterate through the trades ordered by time executed. Each trade is considered to potentially establish the closing price but when the price changes we note by how much it changes and in whether it decreases or increases.

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 boolean

• Minutes before close. integer

  • How many minutes before 15:30 close of market?

• Significant percentage change. Percentage

  • The absolute percentage change in price.

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.

32. Possible closing price manipulation bonds - Private

active bonds private

For this alert, the system checks the closing price information for each bond. If the closing price for a given bond is determined by a bid or an ask order (as opposed to the latest paid price or previous closing price) then the following logic is applied.

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 boolean

• Minutes before close. integer

  • How many minutes before 15:30 close of market?

33. Off market trade report - Public

active shares bonds TRADE REPORT

From public data, detects trade reports that are not in the spread

Parameters:

• Active boolean