TT Score

Cluster Group View - Daily Cluster Groups

Cluster Group View - Daily Cluster Groups

The Daily Cluster Groups view displays groups of clusters automatically grouped by trader, instrument, and model with each row representing a unique combination of the three.

Daily Cluster Groups display

The Daily Cluster Groups display is organized into the following sections:

  1. Daily Cluster Group list: Displays the Daily Cluster Groups view of the selected data as well as filtering and navigation tools.
  2. Data Selection Panel: Manages the dates available to TT Score and specifies the criteria to use when populating the list.

Interpreting the Daily Cluster Group view

The Daily Cluster Group view allows you to conduct cluster group reviews and identify cluster groups which require further attention.

You can review the clusters within a group by clicking View Clusters in the Actions column which will bring up the Cluster List view pre-filtered to the trader, instrument and model displayed.

The following columns are displayed for each Daily Cluster Group.

  • % High Risk: The percentage of clusters flagged as being at high-risk for problematic trading activity.
  • Max Score: The highest individual cluster score contained within this cluster group. Higher values indicate a greater likelihood of manipulative or disruptive trading activity.
  • Model: The name of the model used for analyzing the clusters within this group.
  • Clusters: The total number of clusters analyzed.
  • Instrument: The name of instrument that was traded.
  • Trader: The name or ID of the trader submitting the trades.
  • Date: The date on which the trading activity in the clusters occured.
  • Reviewed: An indication of whether the cluster group was reviewed.
  • Actions: Action buttons:
    • Review/Investigate: Launches the review sidebar where you can:
      • Record a disposition
      • Add a recorded disposition to an an existing investigation.
      • Create a new investigation to which the disposition can be added.
    • View Clusters: Launches a Cluster List view to view the clusters contained within this cluster group.

Cluster List navigation and filters

  1. Cluster Filters: Filter the view by trader, account, instrument, exchange, and line of business.
  2. Select View: Switch between Individual Clusters, Heat Map, Outlier Chart, and Daily Cluster Groups views.
  3. Review Filters: View all clusters or filter by reviewed or unreviewed.
  4. Export (Cluster List view only): Exports filtered data into a .csv spreadsheet file.
  5. Bulk Review (Cluster List view only): Marks all clusters as "reviewed" for the selected model and data.

Daily Cluster Group review

The Daily Cluster Group Review lets you record group-level notes and recommendations and view any dispositions recorded for this group.

Click Review/Investigate in the Actions column to access the Review sidebar.

From within the Review Sidebar you can:

  1. Enter a disposition for this cluster group.
  2. View the review history for this cluster group
  3. Add this cluster to an existing investigation or create a new investigation towhich to add this cluster.

Data Selection Panel

On the left of the screen, the Data Selection Panel shows the daily activity logs that have been selected using the date picker and are available for data visualization. It also includes filters to apply to the data view.

The panel includes the following:

  1. Score Range: Sets the maximum score of the clusters to include in each view.
  2. Date Range: Date-based selector to add daily activity data to analyze.
  3. MODELS: Sets which types of suspect trading patterns to analyze in the data. Check this checkbox to apply all problematic trading models.

    TT Score uses the following models to analyze data for problematic trading patterns:
    • Abusive Messaging: Quote stuffing schemes designed to introduce predictable latency into an exchange's quoting engine or malfunctioning algorithms that might cause market disruptions.
    • Automated Collusive Spoofing: Patterns of manipulative or disruptive trading activity by multiple traders working together to automatically submit a number of orders for which they have no intention of executing in an attempt to move the market.
    • Automated Spoofing: Patterns of manipulative or disruptive trading activity that involve the automated placement of a number of orders for which a trader has no intention of executing in an attempt to move the market.
    • Collusive Spoofing: Patterns of manipulative or disruptive trading activity by multiple traders working together to place a number of orders for which they have no intention of executing in an attempt to move the market.
    • Cross Trading: A cross trade occurs when a buy order and a sell order for the same instrument are entered for different accounts under the same management, such as a broker or portfolio manager.
    • Exchange Messaging Rate Limits: Instances where traders exceeded the exchange message rate limit for a set period of time during a trading session.
    • Influencing the Open: Instances where indirect wash trades occurred at the open of trading in violation of exchange rules.
    • Marking the Close: Trading activity intended to manipulate the settlement price of an instrument during its settlement period.
    • Momentum Ignition: Behaviors that indicate an attempt to create an artificial price movement with aggressive orders followed by an attempt to capitalize on such movement.
    • Pinging: The entry of multiple small orders intended to discover hidden book depth followed by a series of order actions designed to force the large order to trade at less desirable prices.
    • Spoofing: Patterns of manipulative or disruptive trading activity that involve the placement of a number of orders for which a trader has no intention of executing in an attempt to move the market.
    • Wash Account: The same account ID is both the buyer and seller in the same transaction.
    • Wash Trader: The same trader ID is both the buyer and seller in the same transaction.
  4. Products: Sets one or more of the following product types to include in each view:
    • Futures
    • Spreads-Strategies
    • Equity-Index Options
  5. Keep Dropdown Filters Selected: Maintains your selected trader, account, instrument, and exchange filters when changing the selected date(s), models, or product types.
  6. Apply Filters: Applies the selected dates and filters.

Visible models in the Data Selection Panel

The TT Score Dashboard settings in the Preferences | Models Defaults - Visibility & Range section determine which models are visible in the panel and what range of cluster scores are included in the cluster data views.

When you click the Surveillance tab to show the Data Selection Panel, the MODELS section is filtered based on your visibility preferences. By default, all checkboxes are checked for the visible models and the SCORE RANGE is 1-100.

As you check each visible model, the SCORE RANGE displays the range preference set for the selected model (e.g., 60-100).