Module of monitoring non-standard operations

The Module is designed to discover trades and non-trade operations with characteristics of unusual operations, as defined by Regulation of Bank of Russia #445-P of 15 December 2014, and exchange orders and trades conforming to market abuse manifestations in line with Federal Law #224-FZ of 27 July 2010.

Register of unusual operations

The program examines exchange orders and trades for characteristics of unusual operations, as defined in Bank of Russia regulation #445-P, over a period of time. After examination, a register of unusual operations is formed for one or several characteristics.

Every identified case conforming to selected control parameters is shown in a separate line. Additional filtering is possible by the following parameters:

Clients
Counterparties
Assets
Trading venue sections
Price search section
Type of price
Difference in days
Deviation in rubles
Deviation in percentages
Maximum amount in rubles
Number of repetitions
Regularity in days
Calendar

Basic parameters of operation may be viewed in every line of register.

Codes of non-standard operations feature

Code	Feature description
3212	Trades by clients' subaccounts with one asset over a specified period if their number does not exceed a value set by user.
1590	REPO trades with the rate lower than refinancing rate (or equal to zero), marked as potentially suspicios.
3202	Exchange negotiated trades or OTC trades to buy/sell securities with value of 200 000 roubles or more (or its equivalent in other currency) between clients, marked as potentially suspicios.
3203	Exchange negotiated trades or OTC trades to buy/sell securities between two clients over a specified period with the same asset, volume of buy trades differs from volume of sell trades not more than by a value set by user (volumes in linked client-client trades are not taken into account). Every client acts as a buyer and seller a number of times specified by user.
1187	Trades with a price difference with a market parameter equal to a percentage of price.
3205	Trades over a given period with the same Counterparty (including CCP in the negotiated trade mode), with the same subaccount owner, volume of sell trades different from the volume of buy trades by over 200 000 roubles or equivalent in another currency.
3207	Client trades with securities over a day with the price different from the market price of that day by more than a set percentage.
3206	Trades to buy/sell securities, not traded through the trading organizer, with price significantly different from the price of at least one of the trades with this security, executed by a professional participant on OTC market over the last 30 days preceding the execution date of the trade under review.
3204	Trades between two clients over one day with the same asset with volume of buy trades different from the volume of sell trades by no more than a value specified by user (not 'client-client' pairs). The price of sell trades is not higher than the price of buy trades. Market price for asset is not defined.
1101_1113_1	Exchange negotiated trades or OTC trades to buy/sell securities executed within a specified period marked as potentially suspicios operations.
1101_1113_3	Trades between subaccounts of one client over a specified period with the same direction. There are no trades of another direction (only to buy/ only to sell) with the same financial instrument.
1101_1113_4	Groups of corrections 'security/cash deposit/withdrawal' made in subaccounts of one client where asset is the same, amount is the same, correction in groups is opposite, months of execution dates in groups are different.
1101_1113_5	A client with an asset that over a given period produces only daily profit (or only daily loss).

Register of non-standard operations

The Module generates a register of non-standard operations based on market abuse manifestations listed in Federal Law #224-FZ. Each register line contains data on unexecuted order or trade for every controlled trait. All necessary data on the order which was the basis for execution of non-standard trade is shown when the latter is detected. The report allows filtering by the following parameters:

Clients
Assets
Trading venue sections
Liquidity group
Difference in time (minutes)
Ratio of group’s trades volume to the total volume over a day (%)
Number of repetitions
Price deviation (%)

A liquidity group of a security may be determined during reconciliation with a Moscow Exchange report of as part of examination required by Federal Law #224-FZ. Records are available for any changes in classification values.

Codes of market abuse manifestations

Code	Feature description
224_5.2_1	Synchronous forwarding and execution of orders for trades with significant price deviation.
224_5.2_2	Client trades with the same number on a trading venue that gives grounds to believe they were executed by preliminary agreement between the clients.
224_5.2_3	Proportion of one client's trades in another client's trades is not less than 50% for a trading day. Total volume of trades between clients constitutes a significant part of the total exchange trades with the instrument.
224_5.2_4	Trades between interdependent persons.
224_5.2_5	Artificial formation of price, bid, offer or volume of trades - multiple order forwarding and/or execution of buy and sell trades.
224_5.3	Client trades with the same number on a trading venue that gives grounds to believe they were executed at the expence of and for the benefit of the same person.
224_5.4	Orders of one client to buy and sell one instrument are forwarded during a short period of time with buying price higher than or equal to selling price.
224_5.5	Orders of one client in one instrument with price higher than or equal to the best bid (by orders to buy) and less than or equal to the best offer (in orders to sell) at the time of their forwarding.
224_5_1_7	Number of orders forwarded by client is four times higher than the number of trades executed by him with the instrument over a trading day (orders are cancelled by the client).
224_доп_1	Deviation of volume of client's ruble denominated trades with one instrument, where he was a buyer (seller), from volume of client's ruble denominated trades, where he was a seller (buyer), is more than 80 million rubles over a day.
224_доп_2	Deviation of volume of client's ruble denominated trades with one instrument, where he was a buyer (seller), from volume of client's ruble denominated trades, where he was a seller (buyer), is more than 200 million roubles over a month.
224_доп_3	Trades with stocks with price difference from the current weighted average price of more than 15%, with bonds or shares — more than 5%. Trade execution based on negotiated order with price difference from the current weighted average price of security of more than 20%.