This view provides an invaluable tool for market analysts and surveillance teams, extending far beyond simple observation of instruments. By simultaneously presenting the order book depth for two related instruments, the Dual Ladder facilitates the overlay of granular transactional data, offering profound insights into a trader’s behavior and market impact. Analysts can precisely track how a trader’s orders affect the liquidity and price formation within one or both order books. This includes:
- Impact Assessment: Visually determining the immediate and sustained impact of an order (or a sequence of orders) on the displayed quantity and price levels of the order book.
- Order Residency: Pinpointing exactly how long a resting order remained in the book before execution, modification, or cancellation, offering crucial context for intent.
- Book Proximity: Analyzing the distance of a trader’s order from the top of the book (best bid/offer) over time, which is a key indicator of aggressive or passive trading strategies.
This comprehensive visualization is particularly helpful in the detection and investigation of market abuse patterns, such as spoofing, layering, and other manipulative trading clusters. The ability to see the transactional footprint directly against the backdrop of real-time order book depth for potentially linked instruments drastically reduces the time and complexity involved in identifying suspicious activity and building a strong evidentiary chain.
Ladder view
The Ladder view is a research tool that provides users with a frame-by-frame replay of the trading activity overlaid with Level 2 market data on a ladder-style interface. The ladder is 10 ticks deep and displays all market data, including the orders for each relevant participant in the order book. Users can stop, start and rewind the playback of the activity within a given cluster in order to gain a precise understanding of the sequence of events that occurred in the order book and how the trader’s orders impacted the market.
The ladder view includes the following:
- Interactive display of the market ladder for the specified time frame.
- Graph of trading activity showing buy and sell orders along with a bar indicating the current time in the replay.
- List of Audit Trail messages that comprise the activity included in the Market Replay.
Click Play to watch the market react as the order activity in the audit messages are replayed. As the market replays, a vertical bar tracks the progress in the graph and the audit messages are added as they occur. The Audit Message section lists the history of every audit message generated from the start of the replay to the current point in time of the market replay. You can start, stop and rewind the activity to help get a clearer picture of potentially problematic trading activity.
The market replay includes the following:
- Total number of frames in the replay and the frame number currently being displayed.
- Interactive controls to play and rewind trading activity in the ladder.
- Price ladder and state of the market at the indicated time.
- The trader’s working, displayed, undisclosed, and filled quantity at a price level.
Working order display in the Ladder view
When working orders are shown in the market replay, the corresponding cell in the working orders Work column contains abbreviations and colors to assist you in tracking and managing your working orders. The text and colors vary based on order type and order status. Refer to the following table for a description of the abbreviations and colors that appear in the working orders column.
| Work Column Display | Description |
|---|---|
   | Appears for working buy or sell orders. The cell is highlighted blue for buy orders, red for sell orders or yellow when the price level contains both buy and sell orders. Abbreviations include:W — Working order quantity.B — Order quantity bought.S — Order quantity sold.E — Sum of order quantities when a price level has both buy and sell orders. |
   | Appears when TT order types (e.g., TT Time Sliced) or native order types (Iceberg) with disclosed and undisclosed quantities were submitted. The cell is highlighted blue for buy orders, red for sell orders or yellow when the price level contains both buy and sell orders. Abbreviations include:W — Working order quantity.B — Order quantity bought.S — Order quantity sold.E — Sum of order quantities when a price level has both buy and sell orders.D — Disclosed order quantity.U — Undisclosed order quantity |
Dual Ladder View
The Dual Ladder View allows users to compare and view a related instrument in a second ladder in addition to the ladder from any Trade Surveillance cluster. When enabled, users can view the trader’s activity in the cluster specific instrument while loading any instrument in a second ladder.
The second ladder displays market activity that occurs at the same time as the first ladder. This allows you to review the potential market impact of the trader’s activity in a similar, related product, or to demonstrate that the user’s activity in the cluster was due to a change in market conditions in a separate instrument.
To view a second instrument in Dual Ladder View:
- Open the cluster you wish to review and click the Load MD Trader button.
- Above the MD Trader, click the Compare button.
- A Market Explorer window opens allowing you to find and select the product you wish to compare.Note: You must have market data enabled for the exchange and products you want to compare.
- Press the Select Instrument button. The second ladder appears showing market data from the new instrument.
