Market Surveillance System

A commodities broker required a system to monitor an exchange feed, and, based on a list of configurable rules, alert one or more staff members to any potential market abuse (or specifically ‘disorderly trading’) in real time. These users would then be responsible for confirming the alert is genuine and communicating the activity to the relevant authorities if necessary.

The principle trigger for building this system was a MiFID II requirement that brokers take a pro-active role in monitoring market abuse and disorderly trading in real time (as against previously where the next day – known as T+1 – was acceptable). Firms are also required to report any abuse found to external authorities.

The system was designed and configured such that alerts should only be created on genuine market abuse and disorderly trading. The rules for detecting and flagging issues were agreed with the client’s compliance team and configured into the system. The system can check activity from direct electronic access clients who use an algorithmic trading tool through one of the broker’s trading systems, as well as trading activity of the broker’s own traders.

Sinara designed and implemented a robust system, writing software in C# and .NET. A feed handler received and stored FIX messages from the market data feed, and passed the messages to the alerts processor. This component monitors the incoming order messages, and, if an order fits any of the configured alert scenarios, sends an email to a configured mailbox.

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