Price Spike Identification
The price spike search allows you to find market moves of a given size, duration and instrument that occurred within the chosen period or a day. This searches the internal pricing model only, allowing you to identify where the model has moved and if it was a real market move, a spoof or erroneous pricing.
Price spike events are particularly useful for identifying periods of high volatility, notable or unusual market moves. This can help pinpoint your best and worst performing LPs and counterparties.
Using the price spike feature
The price spike finder can be found via the market data drop down in echo.
To search for price spikes, select the instrument to investigate and the time period (either day or specific period).
The price change is given % defaulting to 0.02. The window size defaults to 250ms, and defines the period over which the move took place, a smaller period will show a faster move. Both of these can be adjusted to help identify more/less extreme examples of a move.
The results returned show the market the spike was idenitfyed on, time, duration, min, max, size of move as well as PnL change (if any). The table can be filtered and sorted to find the most prominant examples for review:
Clicking the instrument produces a list of links to analysis around the price spike event, giving you the option to view the Top-of-Book, Spread, Spread Histogram and various filtered Yield Profiles.
Clicking the Market will provide a list of yield profile options linking to the Client trades and system response such as execution, hedging and brokering
top-of-book
Selecting Top-of-Book will display a tick chart of your pricing models and LPs top-of-book pricing for 2.5s either side of an event.
This is a useful tool for analysing the performance of your LPs through the move:
Who was most predictive/fastest through the move?
Who widened out?
Who stayed tight
Did any LPs drop out entirely?
Learn more here about how to use the price spike identifier to analyse your LPs and Pricing Models performance
SPREAD CHARTS AND HISTOGRAMS
These are another good visual tool for understanding exactly how wide your LPs were in comparison to the rest of the market.
The spread chart displays each LPs published spread on a tick-by-tick basis for the 2.5s period either side of the move.
Spread Histograms on the other hand detail exactly how long each LP spent at the published spread for the minute period around the move.
Yield profiles
Selecting Yield Profiles shows all trades for the chosen instrument placed on that Pricing model for the full period searched, the pop-out gives the following quick access options:
Client yield profiles:
For all trades - shows the individual trades filtered by the affected instrument for all books/channels where trading was active at the time
Grouped by counterparty - all trades for the instrument grouped into the counteparties that placed the trade
Opportunity lost through rejects - shows any trades that were cancelled through the event for the selected instrument
External yield profiles:
For all trades - individual trades that were placed externally (either brokered or hedged)
Grouped by counterparty - the external trades grouped by the counterparty that was externalised through brokering
Cost of rejects grouped by instrument - shows any externalised trades that were cancelled during the event for the instrument - this is where LPs have rejected our hedged or brokered trades
Execution Response Analysis:
Fills grouped by counterparty and instrument
Cancels grouped by counterparty and instrument
Execution Response Analysis:
Fills grouped by party and instrument
Cancels grouped by party and instrument