The same clusters carrying self-trading flags were assembling their market positions from twenty-one to thirty-four separate buy fills per market, the largest single fill between $176 and $296, aggregating to between roughly $1,000 and $3,000 in each. No individual fill came close to the total.
This changed how we report. A detection queue organised by rule would show these as separate entries in separate sections: self-trading here, structured position building there, the account-age flag somewhere else again. A compliance officer reading that queue has to reassemble the participant from fragments before they can even begin to assess it.
Aggregate by participant, not by rule. One coherent story per actor, not three scattered entries.
Signature
Structured position building, on top of an existing cluster.
- Actor
- A 6 to 8 account cluster already carrying self-trading flags
- Fill count
- 20 to 35 same-side fills in one market within 24 hours
- Individual fill ceiling
- Under about $300
- Aggregate
- $1,000 to $3,000
- Distribution
- No single fill approaching the actor's aggregate
The operator console and the integrity report were both restructured around this. Indicators remain the unit of detection. The participant is the unit of reporting.