Large Executions - Dollar Value
Description
This test identifies unusually large aggregated net trading activity in relation to the Average Daily Volume (ADV) over a specified duration. The test is designed to flag trades that meet or exceed a specific aggregate dollar value threshold and constitute a significant percentage of the ADV. By monitoring these trades, it provides insights into potentially high-impact trading activity.
Use Cases
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Market Impact Analysis: Identify trades that may significantly influence market dynamics by exceeding a notable percentage of the Average Daily Volume (ADV), helping to assess potential price movements and liquidity shifts.
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Risk Management: Flag unusually large net trading activity to mitigate risks associated with market manipulation, such as attempts to create false signals or disrupt normal trading activity.
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Regulatory Oversight: Monitor large trades to ensure compliance with financial regulations, particularly those related to disclosure and reporting requirements for high-impact transactions.
Required Data
Trades Data
| Variable | Description |
|---|---|
timestamp | Timestamp of the trade made (YYYY-MM-DD hh:mm:ss). |
user_id | User ID to identify the individual user. |
symbol_pair | The asset symbol; e.g., BTCUSDT, SHIBETH, DOGEUSDT. |
side | Whether the trade is a BUY or SELL. |
price_usd | The price of the symbol in USD. |
amount | The amount of the symbol being traded. |
Parameters
| Parameter | Description | Type | Default Value | Configurable |
|---|---|---|---|---|
analysis_window | The number of days over which trades are analyzed for alerts. | Integer | 1 | Yes |
adv_window | The number of days used to calculate the Average Daily Volume (ADV). | Integer | 10 | Yes |
analysis_minimum_aggregate_dollar_threshold | The minimum aggregated net trading value in USD to qualify for alerts. | Float | 10000.0 | Yes |
adv_percentage_threshold | The percentage of ADV that net aggregated trades must exceed to trigger an alert. | Float | 0.03 | Yes |
Methodology
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Calculate Average Daily Volume (ADV) Aggregate daily traded values for each date over a specified duration (e.g., 10 days) and compute the mean to establish the ADV benchmark for each symbol.
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Identify Large Net Trading Activity Filter trades in the analysis window per user, where the aggregated net dollar value exceeds a predefined notional value threshold (e.g., $10,000) and is greater than a specified percentage of the ADV (e.g., 3%).
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Flag Large Net Trading Activity Flag users whose aggregated net trading activity in dollar terms exceeds the thresholds set for the test.
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Summarize Alerts Group flagged trades by user and summarize metrics such as total dollar value, the symbol of interest, last trade date, and the corresponding ADV.
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Categorization and Reporting Classify flagged trades as high-impact transactions. These are then prepared for reporting, either as CSV exports or Jira tickets for further investigation.