How to detect marking an auction price?

In order to detect potential marking the auction situations, the trade surveillance system should pop up alerts whenever there is:

• High price variation in the auction;
• High participant's volume in the auction as percentage of the total volume in the auction;

Additionally (and ideally - as it is not easy to implement), the alerts should only be triggered whenever:

• The participant's order that led to execution was placed a few moments before the end of auction's accumulation period;
• The participant's order was placed after the order(s) against it was executed;
• There is a material difference between the executed price and the price that would have been executed if the participant's order(s) had not be entered.

For securities that trade continuously (which usually have two periodic auctions, at the open and close of the session), the alert should also take into account the following:

• High participant's volume in the auction as percentage of the participant's volume in the day.

In order to take the idiosyncratic characteristics of each security and each participant into proper consideration, the alert's thresholds should be set in relation to their respective historical records.