Purpose. Factual description of the automated trade-surveillance program operated by Acme Exchange (demo workspace) on the DataTap platform, generated from the running system on 2026-09-18. Prepared as application-support material; counsel review and framing required before filing.
The program combines (a) pre-trade controls at the gateway under maker-checker governance, (b) automated T+1 post-trade surveillance across settlement profitability, order-book conduct, wash activity, parity, and catalyst-anchored insider patterns, (c) operator-level entity resolution so limits and restricted-person checks bind the beneficial owner, and (d) write-once recordkeeping with cryptographic integrity. Every dispositive action requires a human, and — under four-eyes enforcement — a second one.
| Provision | Control | Live state at generation |
|---|---|---|
| CP 2 / 38.156-157 | Automated T+1 surveillance engine; daily scheduled scans; on-demand runs; findings deduplicated against the open queue | 0 recorded runs · 4 alerts on record |
| CP 4 · market disruption | Gateway guardrails ($0.01–$0.99 bounds, YES+NO parity, OTR throttles, fat-finger); kill switches on the participant registry | 8 guardrails in force · 3 registered participants |
| CP 5 · position limits | Limits evaluated at the resolved-operator cluster, not the account (entity resolution over funding/device/address/subnet/wallet links) | 4 resolved clusters |
| CP 12 · participant protection | Insider/MNPI detection: settlement-profitability z-scores against per-market computed baselines; catalyst-anchored pre-news accumulation | 4 markets baselined |
| CP 13 / 40.11 | Versioned restricted lists; every gateway block cites the content-hash version in force | 0 uploaded list sources |
| 1.31 · recordkeeping | Append-only evidence store, SHA-256 at write, chain-hashed package manifests; regulator access is scoped, time-boxed, and itself logged | WORM store live |
| 17.00 / Part 16 | Large-trader extracts and daily products reports generated from live data on schedule | generators live |
| Rule | Threshold in force | Status |
|---|---|---|
| Binary bounding | Reject limits outside $0.01–$0.99 | in force |
| Parity constraint | Reject implied Σ > $1.02 | in force |
| Fat-finger | Reject > 12% through NBBO | in force |
| OTR throttle | 40:1 message-to-trade per algo | in force |
| Quote-depletion | One-sided sweep, 3+ accounts → CoD | in force |
| Detector · cluster position limit | 150000 USD aggregate OI per resolved cluster | in force |
| Detector · god-mode z threshold | 5.0 sigma settlement-profitability outlier | in force |
| Detector · spoof cancel-to-fill | 40 :1 canceled-to-filled at the bounds | in force |
| Stage | Acting roles | SLA (h) |
|---|---|---|
| New / investigating | analyst, officer, supervisor, admin | 24 |
| Disposition proposed | officer, supervisor, admin | 24 |
| Approved (second identity) | supervisor, admin | — |
Stage transitions are enforced server-side; documentation quality gates block undocumented dispositions; threshold changes attach automated backtests.
Settlement-profitability expectations are computed per market from the venue's own settled outcomes and z-scored per account (binomial deviation, minimum-sample floors). Entity resolution runs union-find over weighted identity links, weak links requiring corroboration; confidence = 1 − Π(1 − w). Pre-catalyst detection flags three or more same-cluster buyers inside a 20-second window before a timestamped catalyst. All detector parameters are tenant-tunable exclusively through maker-checker with backtest evidence attached to each proposal.
Integrity: this document's SHA-256 is recorded at generation in the append-only store. Regenerate at filing time so the exhibit reflects the live program.
Generated by DataTap · SHA-256 recorded in the WORM store at generation.