Market Surveillance System
Sinara were asked by a client to design and implement a new market surveillance system. This involved the creation of an Alerts Engine to detect and report unusual behaviour in the day’s trading, such as detecting potential insider dealing, layering, spoofing, flickering, and other methods of market manipulation.
The Alerts Engine was implemented to run at the end of each trading day, checking individually all the trades and orders that occurred during the day and flagging scenarios that may constitute unusual activity and incrementing defined metrics which trigger an alert when breached.
A key requirement for the Alerts Engine was for these scenarios to be entirely configurable by business users, rather than needing to have new versions of the software built and released each time a change was needed.
The system allows alerts to be raised as a summary e-mail at the end of the run, and also stored in the client’s issue tracking system along with the trade and/or order information so that they can be investigated by the market surveillance team.
At the time of implementation the Alerts Engine was handling 2 million trades and orders every evening.
The system was built in C# and .NET, and used a SQL Server database (stored procedures and SSIS).