SGX Rulebooks
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3.1

The effectiveness of processes to identify suspicious trading behaviour depends to a large extent on the types and size of the parameters set. A list of suggested parameters is below:

(a) To detect orders/trades that are inconsistent with recent trading (not justified by assets, earnings, income yield or prospects) in the security or that would materially alter the market, such as:
(i) orders/trades more than x% or a number of price steps from the previous bid/offer/last traded or closing price;
(ii) several orders usually for small quantities placed close together at increasing or decreasing prices to create 'layering' of buy/sell orders in the market. Such orders may have a material impact on price but could potentially avoid detection by filters designed to pick up large one-time moves in price as the layering of orders results in many small price moves;
(iii) the excessive use of Force Key in entering orders. This may be indicative of a Trading Representative and/or customer or a group of Trading Representatives and/or customers working to move the price far beyond the current price; and/or
(iv) orders entered during pre-opening and pre-close at such a quantity and price that have the effect of creating a false or misleading appearance of the market for, or the price of, such securities.
(b) Orders/trades that result in no change in beneficial ownership of a security or that create a false or misleading appearance of active trading, for example:
(i) orders/trades arising from orders placed on both the buy and sell side of the market at a similar price and time by the same Trading Representative or customer or by a group of Trading Representatives and/or customers acting in concert.

Added on 3 June 20193 June 2019.

3.2

Trading Members' processes should be able to identify the above irregular orders/trades regardless of whether they originate from one Trading Representative or customer or a group of Trading Representatives and/or customers acting in concert. In addition, they should also be able to identify consistent patterns of irregular trades done over a period of time.

Added on 3 June 20193 June 2019.

3.3

In setting the above parameters, Trading Members should take note of securities that are illiquid or those with small free floats which make them susceptible to cornering and price manipulation.

Added on 3 June 20193 June 2019.

3.4

Trading Members should also pay attention to orders entered after a corporate action to ensure that the orders reflect the change in price and/or quantity after the corporate action. This is to prevent securities being traded at dramatically wrong prices/quantities due to a lack of knowledge or a misunderstanding of the corporate action by uninformed customers.

Added on 3 June 20193 June 2019.