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美股做盘违规(英文版)

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来源: 2020-2-18 16:22:07 显示全部楼层 |阅读模式
OneTick Surveillance System - AlertsSingle Account Layering with Spoofing – Initial CriteriaAlert Criteria Summary:
Presence of a sequence of orders and market conditions leading to the following conditions in the specified order:
Established orders on both sides of the book (ASK and BID), with both orders at one time on the top of the book
Given (1), one order is executed
Given (1) and (2), the other order is cancelled
Details:
A trader placed an order on one side at the BBO, executed an order (partially or completely) on the other side, and cancelled the original BBO order.
The original BBO order is not marked as hidden. Note: If we cannot determine whether the order is hidden we treat it as visible.
The spread at the time of placing the original BBO order is at least 3 cents (MIN_BID_ASK_SPREAD=0.03).
Single Account Layering with Spoofing – Current Revised CriteriaAlert Criteria Summary:
Presence of a sequence of orders and market conditions leading to the following conditions in the specified order:
Established orders on both sides of the book (ASK and BID), with both orders at one time on the top of the book
Given (1), one order is executed
Given (1) and (2), the other order is cancelled
Details:
A trader placed an order on one side at the BBO, executed an order (partially or completely) on the other side, and cancelled the original BBO order.
The original BBO order is not marked as hidden. Note: If we cannot determine whether the order is hidden we treat it as visible.
Influencing order(s) must be greater in size than the resting order for execution
Influencing order(s) must be entered 1 minute or less and also cancelled in less than 5 seconds after the resting or other side order is filled.
The spread at the time of placing the original BBO order is at least 3 cents (MIN_BID_ASK_SPREAD=0.03).
Wash Trades (Single Account)Alert Criteria Summary:
Sell and Buy the same securities by the same account on both sides.
Details:
A trader executes a sell and a buy order within 1 second (TRANS_TIME_DIFF_SEC=1) at the same price for the same quantity.
Note:
Current version is filtering out transactions for options based on the security type specified in the execution reports, this filter can be adjusted as needed.
Quote StuffingAlert Criteria Summary:
Excessive placement and cancelation of orders on one side of the book. Alert is triggered when the number of such events exceeds predefined threshold in predefined time windows.
Details:
In any 60 second interval (WINDOW_SIZE_SEC=60), a trader:
cancels more than 60 orders (CANCEL_THRESH=60)
fills no orders
number of new orders is the same as the number of filled orders (this can be modified to allow number of new orders and number of filled orders to differ by specified percentage)
Marking the CloseAlert Criteria Summary:
Stocks are bought or sold near the close of trading to affect the closing price.
Details
Number of trades executed by a trader between 15:58:00 (START_SURV_TIME) and 16:00:00 (CLOSING_TIME) above 10% (HIGH_VOL_THRESH=0.1) of the number of trades executed on the market during that period.
Total number of trades executed by the trader between 15:58:00 and 16:00:00 is above 10 (NUM_TRADES=10).
High VolumeAlert Criteria Summary:
Total traded volume per account per symbol exceeds specified threshold when compared to the total market daily volume for the same date/symbol/account combination.
Details:
Trader's volume for a day is above 5% (HIGH_VOL_THRESH=0.05) of the market volume for that day
High volume is computed for market open hours only (9:30 AM – 4:00 PM EST)

以下是有道翻译出来的   有点不准确    大家看看吧
一蜱监测系统-警报

带有欺骗的单个帐户分层-初始条件

警报标准简介:

出现一系列订单和市场情况,导致在指定订单中出现下列情况:

1.在书的两边建立订单(要求和出价),两个订单同时在书的顶部

2.给定(1),执行一个订单

3.给定(1)和(2),则取消另一个订单

细节:

A 商人 一边 订单 BBO, 执行 订单 (partially 或 另 side, completely) 取消 原 BBO 坏

不是 标记 为 hidden. The 原始 BBO 秩序注意:如果我们不能确定订单是否隐藏,我们将其视为可见的。

The 传播 时 将 原 BBO (MIN_BID_ASK_SPREAD=0.03). 订单 至少 3 美分

单一帐户分层与欺骗的现行修订标准

警报标准简介:

出现一系列订单和市场情况,导致在指定订单中出现下列情况:

1.在书的两边建立订单(要求和出价),两个订单同时在书的顶部

2.给定(1),执行一个订单

3.给定(1)和(2),则取消另一个订单

细节:

A 商人 一边 订单 BBO, 执行 订单 (partially 或 另 side, completely) 取消 原 BBO 坏

不是 标记 为 hidden. The 原始 BBO 秩序注意:如果我们不能确定订单是否隐藏,我们将其视为可见的。

Influencing order(s) 大小 必须 大于 休息 的 顺序 来 执行

Influencing order(s) 必须 进入 1 分钟 或 更 少 的 也 取消 了 在 不到 5 秒 后 休息 或 订单 filled. 另 一边

The 传播 时 将 原 BBO (MIN_BID_ASK_SPREAD=0.03). 订单 至少 3 美分



洗盘交易(单一帐户)

警报标准简介:

买卖双方以相同的帐户买卖相同的证券。

细节:

A 交易员 执行 销售 和 购买 订单 在 1 秒 内 (TRANS_TIME_DIFF_SEC=1) quantity. 一样 以 同样 的 价格

注意:

当前版本根据执行报告中指定的安全类型过滤掉选项的事务,这个过滤器可以根据需要进行调整。

引用填料

警报标准简介:

在书的一边过多的放置和取消订单。当此类事件的数量超过预定义时间窗口中的预定义阈值时,将触发警报。

细节:

在任何60秒间隔内(WINDOW_SIZE_SEC=60),交易者:

cancels (CANCEL_THRESH=60) 60 多个 订单

fills 没有 订单

新订单的数量与填写订单的数量相同(可以修改这一点,使新订单的数量和填写订单的数量在指定的百分比上有所不同)

标志着近

警报标准简介:

股票在接近交易结束时买进或卖出,以影响收盘价。

细节

Number 之间 的 交易 由 交易员 执行 15:58:00 (START_SURV_TIME) 和 16:00:00 (CLOSING_TIME) (HIGH_VOL_THRESH=0.1) 10% 以上 的 数量 在 这 period. 交易 市场 上 执行

Total 15:58:00 之间 的 交易 由 交易员 执行 数量 , 16:00:00 高于 10 (NUM_TRADES=10).

高容量

警报标准简介:

与同一日期/符号/帐户组合的总市场日交易量相比,每个帐户/符号的总交易量超过指定的阈值。

细节:

Trader's 卷 一 天 5% 以上 (HIGH_VOL_THRESH=0.05) 市场 容量 的 那 一 天


High 体积 计算 的 市场 开放 时间 只有 (9:30 AM – 四点 PM EST)

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