TT Score

Cluster View - Cluster Scorecard

Cluster View - Cluster Scorecard

The Cluster Scorecard view provides a summary of the vital statistics of the cluster as well as an initial visualization of the pattern that was formed by the order and fill messages that comprised the cluster. Clicking on Inspect Cluster from the cluster detail section of the List View opens the scorecard for the selected cluster event.

The scorecard helps analyze the behavior identified by providing metrics, the score, a chart (where applicable) and the records in the raw audit log that were included in the analysis. Using this view, a compliance officer can quickly view what happened for the given cluster of order transactions.

Cluster Scorecard Display

The Cluster Scorecard is organized into the following sections:

  1. Cluster Statistics and Scorecard Metrics: Displays statistics and metrics for the trading activity analyzed within the cluster.
  2. Audit Activity: Shows the actual order actions from the audit trail with some minor normalization of things like Order Type, Side and Order Action. Rows are color coded by action and side.
  3. Filled Positions and Working Orders: Displays the trading activity and volume of contracts traded within the cluster over a period of time.
  4. Cluster Scorecard controls: Allows you to export data, replay data, review a cluster, and inspect the machine learning vectors.

Cluster Statistics and Scorecard Metrics

The Cluster Statistics and Scorecard Metrics sections provide general information about the cluster as well as cortex-specific details.

The Cluster Statistics section includes summary details about the cluster:

  • Duration
  • Placed Orders
  • Modified Orders
  • Partial Fills
  • Complete Fills
  • Canceled Orders
  • Rejected Orders
  • Total Messages

The Scorecard Metrics section shows cortex-specific information. The metrics listed are unique to each cortex and are included in their documentation:

Audit Activity

This section shows the actual order actions from the audit trail with some minor normalization of things like Order Type, Side and Order Action. Rows are color coded by action and side.

Audit fields are described in the following table.

Field Description
Line # Audit file line number.
Timestamp Date and time the order was submitted.
Ord ID Unique TT order ID for internal tracking.
Action Type of order or fill action on the execution report.
Side The side of trade (Buy or Sell).
Ord Order quantity
Ice Quantity of the original parent order
Position The user's position. Positive numbers indicate a long position. Negative numbers indicate a short position.
Price The order price.
Type The order type. Supported order types vary by exchange.
TIF The order Time-In-Force restriction. Supported TIFs vary by exchange.
Exch Time For messages going to the exchange, this represents when the message is sent to the exchange from the order server. For messages received from the exchange, this represents when the message is sent from the order server to the rest of the TT platform.
Exch ID Exchange defined execution identifier.
User ID The TT platform user identifier.

Filled Positions and Working Orders

This section at the bottom of the Scorecard provides a look at the volume of contracts traded within the cluster, as well as how the order and trade activities unfolded over the relevant period of time.

You can click on a range of contracts within the chart to view the trading details in the Audit Activity section.

A chart can be drawn below the audit trail for Spoofing and Abusive Messaging clusters. The Spoofing chart shows the buys and sells (working and filled) along with Iceberg (disclosed) volume and markers when the trader is flipping the market. The Abusive Messaging chart shows when the message rate is excessive.

Click Review Cluster to review the score for accuracy, make recommendations regarding the potential spoofing or abusive messaging data, and submit the review.

Cluster Scorecard controls

This section of the scoreboard includes the following display controls:

  • Market Replay: Displays a subsequent screen showing the market data ladder and the audit trail, allowing both of these to be played to see the orders interact with the market. If the time zone assumed for the file is not correct, market data may either be missing or misleading. Market Data is limited to CME and ICE at this time.
  • Export Data: The Export Data button will export the audit trail data from this score card to a local CSV file and download it onto the local computer.
  • Review Cluster: Allows you to review the score accuracy, recommend follow-up actions, and submit the review for further investigation. The check box and the text box can be used to indicate the cluster has been reviewed and to take any notes. The data persists with this cluster and is displayed on the score card and List View screens whenever the cluster is viewed.
  • ML Vectors: Displays the machine learning vectors.