Order Stream Surveillance
Today’s electronic market places receive thousands of orders each second. Recognizing market abuse amid an overwhelming flow of orders is becoming increasingly difficult, especially when the distinction between legitimate orders and gaming can be subtle. Exchanges, Alternative Trading Systems (ATS), as well as brokers offering Direct Market Access (DMA) all have an obligation to ensure that trading activity is legitimate and conforms to established bylaws and trading rules. Ultimately, brokerages and venue operators are accountable for the legitimacy of trades, and they need advanced market surveillance technology that can pinpoint questionable activity in a sea of legitimate orders.
- Watch for order patterns of rapid order placement and cancellation
- Watch for patterns that indicate potential market manipulation
- Watch for patterns that could lead to information leakage
Rapid Deployment
Complex Event Processing (CEP) technology from Aleri makes it easy to implement a real-time order flow surveillance solution. The Aleri CEP engine scales to handle high transaction volume and provides a low enough latency profile that it can be deployed either as an in-band system that orders pass through or as an out of band monitoring system. It performs real-time correlation on any fields according to user defined rules, and Aleri’s advanced pattern matching syntax can be used to watch for complex patterns of orders with a single order stream or across multiple order streams. Aleri’s high-level modeling tools allow the end user to easily define new rules, patterns to watch for, as well as to define the flow of data – without requiring C++ or Java programming skills. This frees you to focus on the actual trading surveillance logic you need, without worrying about data handling and scalability. You can also easily modify your rules for system-issued surveillance alerts at any time. According to users of Aleri’s Complex Event Processing Technology, implementing solutions on the Aleri platform cuts application development time by as much as 80%.
Examining Order Flow in A Broader Context
In some cases, order flow surveillance needs to take into account current conditions, trends and developments within the broader market. How do incoming orders relate to the current state of the market? How to order patterns correlate with market movements? The flexibility of the Aleri platform allows market data to be referenced within the surveillance rules, including the ability to leverage Aleri’s Market Liquidity Analysis server that supports automated analysis of a consolidated full full-depth order book that spans multiple execution venues.
Simplified Integration with Existing Trading Environments
Aleri’s open data model allows you to analyze data in native formats. Full support for FIX messages along with a range of connectors for common messaging platforms, sockets, market data systems and databases make integration a breeze.
Interactive Data Analysis Supports Investigation
The Aleri Live OLAP server can optionally be used for compliance investigation through its multi-dimensional analytical capacity for up-to-the-minute data. When the surveillance system generates an alert, an investigator can drill down into the underlying data, with the ability to dynamically aggregate data by ID, by session, or by trade type.
