attempting to manipulate or control fixes or benchmarks
Attempts to manipulate benchmarks (fixes) relate to both submission based benchmarks and trade data based (passive) benchmarks. An example of a passive benchmark is WMR 4pm FX fix which is calculated based on trade data from various FX trading venues. Attempts to manipulate passive benchmarks may involve manipulative trading or employment of a fictitious device.
Effective implementation of surveillance alerts for benchmark manipulation requires capturing the following trade data:
trade and position
market prices and volumes
communications data
benchmark (fix) reset risk or associated orders