performing partial fills of client orders but not passing to the client the correct fill
Dealers may not be able to buy the full amount in relation to client resting limit orders. In such cases, dealers will perform a 'partial fill'. Inappropriate partial fill is when a dealer does not pass to clients all amount executed but instead keeps some of the executed inventory for dealer's own benefit.
Effective implementation of surveillance alerts for partial fills requires capturing the following trade data:
trade and position
client orders and their execution details
market prices and volumes
Effective surveillance require capture of original client instruction (e.g. full details of resting orders) and monitoring for partial fills. Once partial fills are identified, alert logic should check whether a firm retained any inventory for house benefit as opposed to allocating to client orders.