Regulator persona · surveillance · synthetic triggers

Market monitor — 2026-05-29

Rules-based streaming projections over the auction record and the append-only event log. Not ML — every flag is explainable to the exact offer, bid, or event that tripped it (the property a regulator needs and an opaque score cannot give). Three detectors fire on synthetic triggers below; eight more are projection-ready.

Synthetic surveillance feed — the triggers are deliberately rigged to demonstrate each detector; figures are illustrative, seed=42.

capacity withholding · h18 wash trade price spike · h18

1 · Capacity-withholding

RSI: RSI = (total_supply − largest_supplier) / load. RSI<1 means the largest supplier is pivotal — load cannot be met without it, so it could raise price unilaterally. Combined with a submitted-vs-rated heatmap (<80% with no outage logged = red). (PJM/CAISO DMM three-pivotal-supplier test · FERC.)

Generator	00	01	02	03	04	05	06	07	08	09	10	11	12	13	14	15	16	17	18	19	20	21	22	23
Aggregator — renewables pool
Cross-border — ZESA interconnect
Eskom Holdings — coal fleet (Generator)																			!
Eskom Holdings — OCGT peaker (Generator)
IPP — solar BW5 (Generator)
IPP — wind plant (Generator)

≥95% offered <80% (outage logged) <80% no outage = withholding suspected

RED RSI=0.08 (pivotal). 1 generator(s) submitting <80% of rated capacity with no outage logged; largest gap: 12000 MWh from gen_eskom_coal_01.

PJM/CAISO DMM three-pivotal-supplier test · FERC market-power screen

2 · Bilateral wash-trade

A→B at price P matched by B→A at ±P, equal volume, within a 30-minute window — no net economic position changes, the signature of trades placed to paint volume or liquidity. (SEC/CFTC surveillance.) Benign one-way trades and reciprocal pairs outside the window are not flagged.

Trade id	From → To	Price (R/MWh)	MWh	Minute
t-benign-1	IPP — wind plant (Generator) → Large customer — aluminium smelter	R620.00	30	09:05
t-wash-A	Aggregator — renewables pool → agg_shadow_02	R900.00	100	11:02
t-wash-B	agg_shadow_02 → Aggregator — renewables pool	R901.00	100	11:14
t-far-A	Large customer — EIUG mine → Distributor — Eskom Distribution	R850.00	50	14:00
t-far-B	Distributor — Eskom Distribution → Large customer — EIUG mine	R850.00	50	14:45

RED Reciprocal trade pair: agg_renewables_01→agg_shadow_02 then agg_shadow_02→agg_renewables_01, 100 MWh, price delta R1.00/MWh, 12 min apart — no net position change (wash-trade signature).

SEC/CFTC wash-trade surveillance

3 · Price-spike vs trailing-30-day band

Today's hourly SMP against the p5–p95 of a trailing-30-day band for the same hour. Outside-band hours auto-flag (above p95 = red, below p5 = amber). (AEMO Average Price Tables.)

Hour	p5	p95	Today SMP
00	R791.47	R888.98	R847.93
01	R804.65	R920.67	R864.61
02	R796.05	R911.03	R850.02
03	R793.66	R916.32	R853.69
04	R777.17	R891.33	R831.08
05	R775.73	R882.16	R831.49
06	R792.15	R902.49	R842.14
07	R771.36	R886.32	R832.98
08	R791.16	R899.27	R847.24
09	R798.41	R913.42	R854.47
10	R791.75	R887.84	R837.18
11	R791.89	R908.36	R847.35
12	R786.90	R903.96	R847.99
13	R779.17	R887.21	R841.83
14	R786.22	R905.08	R849.01
15	R779.72	R893.52	R838.92
16	R803.25	R927.55	R865.47
17	R2042.73	R2354.06	R2188.35
18	R2075.52	R2335.90	R3737.44
19	R2056.49	R2385.26	R2219.54
20	R2049.87	R2310.77	R2196.73
21	R794.04	R909.59	R845.94
22	R788.95	R901.80	R853.57
23	R778.42	R898.31	R836.77

RED Hour 18 SMP R3737.44/MWh is above the p95 of the trailing-30-day band (p5 R2075.52 – p95 R2335.90), +60% vs the boundary.

AEMO Average Price Tables — outside-band auto-flag

Projection-ready detectors

The same event-log substrate supports these additional detectors (built if budget allows). Each is a rules-based projection, not ML.

projection-ready Offer-withdrawal pattern

Gate-open→close offer mutations: capacity offered early then pulled before gate-close.

Precedent FERC offer-mitigation screens

projection-ready Coordinated-bidding correlation

Cross-party bid-price correlation above a threshold across rolling windows.

Precedent CFTC/EU REMIT collusion screens

projection-ready Volume-ramp cap breach

Third-party volume vs the Trading Rules R2 §08 ramp cap (20/30/40/50%): amber approaching, hard-block + NERSA-notification event when exceeded. Ties to F6.

Precedent Trading Rules R2 §08

projection-ready Prudential-collateral breach

>80% of posted margin used → margin call; >100% → default-waterfall projection.

Precedent SGX EMC default-waterfall

projection-ready Telemetry-confidence

<95% of expected meter telemetry reporting for the hour → reduced-confidence banner.

Precedent AEMO data-quality flags

projection-ready Replay-divergence canary

Nightly re-run from the event log; any divergence from the published receipt is a P0.

Precedent event-sourcing / deterministic-replay invariant

projection-ready Round-number bidding heuristic

Clustering of offers on round price points (e.g. exact R/MWh hundreds) as a soft signal.

Precedent behavioural-finance round-number bias

projection-ready Bid-clustering scatter

Price×volume scatter to surface suspiciously tight offer clusters across parties.

Precedent visual market-monitor exploratory tool

Regulator market monitor · rules-based projections, not ML · escalations write anomaly_flagged to the append-only SHA-256 chain · simulator build 2026-05-29.