Deal Time
When submitting wholesale orders, such as block trades, exchanges usually require the trades to be submitted within a specific time frame from execution (i.e., consummation time). For example, CME requires traders to submit block trades within 5 or 15 minutes, depending on the product.
In TT Trade Surveillance, the Deal Time Model analyzes, scores, and displays the time difference between the consummation time and the submission time for block trades.
Scoring methodology
When evaluating a potential deal time violation, TT Trade Surveillance reviews block trade orders and compares the consummation time to the submission time of the order.
Score interpretation
TT Trade Surveillance sets the cluster risk score to 100 if the Time Difference between the consummation time to the submission time is greater than 15 minutes. A Score of 85 is given if the consummation time is missing from the transaction.
Identifying deal time issues
Use the Cluster Scorecard to get a closer look at the activity that triggered the deal time score. The Cluster Scorecard shows any orders that could constitute a deal time issue.
In this example, the Time Difference reflects a value higher than the allowed 15 minute window.