Price ramping is an attempt to create directional price movement. The Price Ramping model can detect a series of aggressive orders submitted in a short time span that trade through multiple price levels on the same side of the market.
To detect potential price ramping, TT Score searches for specific patterns of fill activity by the same trader who submitted the aggressive orders. It looks for traders who place multiple orders that immediately lift offers or hit bids within a short time frame (aggressive orders). For each of these aggressive orders, TT Score identifies fill prices for orders executed at multiple price levels and whether the changing fill prices trend in same side as the aggressive orders.
The Price Ramping score is based on a sliding scale between 0-100. For example, a cluster score of "75" indicates that many aggressive orders were filled at multiple price levels.
The Scorecard Metrics section measures the following statistics related to price ramping:
If the Price Ramping model displays multiple price levels for a cluster, this may indicate that the trader is attempting to ignite a price movement in a particular direction (Buy or Sell) to mislead other market participants or create an artificial price.
When investigating Price Ramping clusters with TT Score, consider the following:
Using the Cluster Scorecard, you can analyze the activity that triggered the high cluster score. The pressure chart on the scorecard provides visual clues about the potential suspect trading pattern. The audit trail data on the scorecard can be used to verify order information and timing of the activity. The following example shows trading activity identified as potential price ramping.
In this example: