{"id":7218,"date":"2025-12-09T16:19:52","date_gmt":"2025-12-09T22:19:52","guid":{"rendered":"https:\/\/librarytestdev.wpenginepowered.com\/?post_type=doc&p=7218"},"modified":"2026-01-06T18:47:07","modified_gmt":"2026-01-07T00:47:07","slug":"exchange-messaging-rate-limit","status":"publish","type":"doc","link":"https:\/\/library-staging.tradingtechnologies.com\/tt-trade-surveillance\/core-models\/market-rate-models\/exchange-messaging-rate-limit\/","title":{"rendered":"Exchange Messaging Rate Limit"},"content":{"rendered":"\n

The Exchange Messaging Rate Limit model flags instances where a trader exceeds, or nearly exceeds, the exchange’s messaging rate limits<\/a>. By reviewing instances of excessive messaging rates in a TT Trade Surveillance cluster, compliance officers can identify potentially suspect trading activity on a per trader basis.\n<\/p>\n\n

Note<\/b>: This model currently only covers exchanges supported on CME Globex.<\/p>\n\n\n\n\n

Scoring methodology<\/h2>\n\n\n

TT Trade Surveillance identifies where traders have exceeded the exchange-defined maximum messaging rate limit for at least a three second period throughout the trading day. If one or more three-second “bursts” are identified or if the messaging rate of the burst far exceeds the exchange maximum rate in a cluster, a higher score will be assigned to that Exchange Messaging Rate Limit cluster.\n<\/p>\n\n\n\n

Score interpretation<\/h3>\n

The score assigned to a cluster is based on a sliding scale between 0-100 using a weighted calculation. A score of 75 and above is a good indication that the suspect trading activity occurred.<\/p>\n\n

Based on TT Trade Surveillance best practices, clusters that score over 75 are deemed to be \u201chigh risk\u201d and should be the primary focus of users during their compliance reviews.<\/p>\n\n\n\n\n

Scorecard metrics<\/h3>\n\n

The Exchange Messaging Rate Limits cluster scorecard includes metrics that help you identify where excessive messaging rates occurred on a per trader basis.<\/p>\n\n

<\/p>\n\n

Included metrics are:<\/p>\n\n

    \n
  • Burst number<\/b> \u2014 The three-second interval of data selected in the cluster scorecard chart.\n<\/li>
  • Count<\/b>: The message rate per second during the interval.\n<\/li>
  • StartTime<\/b>: Start time of the three-second burst interval.\n<\/li>
  • StopTime<\/b>: End time of the three-second burst interval.\n<\/li>
  • Type<\/b> \u2014 The type of high-level trading activity: “Cancels” or “Non-Cancels”.\n<\/li><\/ul>\n\n\n\n\n\n

    Identifying excessive messaging rates<\/h2>\n\n

    In addition to the scorecard metrics, the Exchange Messaging Rate Limits chart and Audit Trail can help identify intervals of excessive messaging rates.<\/p>\n\n

    <\/p>\n\n\n

    To inspect an Exchange Messaging Rate Limits cluster in TT Trade Surveillance:<\/p>\n\n

      \n

    1. Click on a burst displayed in the chart.<\/p>\n

      The chart will only highlight instances when the messaging rate exceeded the exchange maximum rate limit for a period of three seconds.<\/p>\n<\/li>

    2. Review the burst metrics highlighted in the metrics scorecard.<\/p>\n

      In this example, the second messaging rate burst is selected (Burst 2). The messaging rate per second for the interval is shown by the Count<\/b> metric. The Type<\/b> metric shows that the excessive messages were “non-cancel” order actions.<\/p>\n<\/li>\n\n

    3. To further inspect the trading activity during the selected burst interval, click an order row in the Audit Trail.\n<\/p>\n

      Only the order activity for the selected burst is displayed. In this example, the price was continuously requoted for the duration of the three-second interval.<\/p>\n<\/li>\n<\/ol>\n","protected":false},"excerpt":{"rendered":"

      The Exchange Messaging Rate Limit model flags instances where a trader exceeds, or nearly exceeds, the exchang […]<\/p>\n","protected":false},"author":2,"template":"","meta":{"_acf_changed":false,"footnotes":""},"docs-category":[494],"class_list":["post-7218","doc","type-doc","status-publish","hentry","docs-category-market-rate-models"],"acf":[],"_links":{"self":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7218","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc"}],"about":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/types\/doc"}],"author":[{"embeddable":true,"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/users\/2"}],"version-history":[{"count":0,"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7218\/revisions"}],"wp:attachment":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/media?parent=7218"}],"wp:term":[{"taxonomy":"docs-category","embeddable":true,"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/docs-category?post=7218"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}