Apama Wins Market Surveillance Deal at Turquoise

Progress Apama, along with our system integration partner, Detica, has been chosen by Turquoise, the European multi-lateral trading facility, to deliver a real-time market surveillance system. Turquoise is funded by nine of Europe's largest banks and is essentially a new electronic stock exchange that, when it goes live this year, will compete with traditional equities venues like the London Stock Exchange.

Explicit in the announcement is how important market surveillance can be in helping to ensure an orderly market that traders can trust to be fair to all participants. Such confidence helps promote liquidity, which is the lifeblood of any trading venue. Implicit in the announcement is the value of CEP-powered, real-time market surveillance in driving the rapid detection of potential patterns of abuse or other questionable behavior. As Apama observers will note, this is the second selection of Apama and Detica for a real-time market surveillance system.  Last year, the same vendor team was chosen by the British regulator, the FSA.

There has been much press in the last week regarding the problems that can occur when proper procedures – and technology – are not in place to monitor trading behavior.  The situations are different - the problems at the French bank Société Genéralé appear to involve the Futures trades of a single trader, while Turquoise will be an equities exchange. But billions in losses certainly shine a bright light on the value of being able to monitor activities and respond quickly, regardless of the financial instruments involved. And though the motivations might differ, the value is there whether the monitoring is done by individual firms, by the trading exchanges, or by regulatory authorities.

Comments

[david luckham]

Chris, you should post this announcement on the CEP Forum.
Also, could you write somewhere a bit more technical details:
1. examples of patterns to be monitored (one or two simplified examples, naturally)
2. Expected event throughputs.
3. kinds of comparison tracking of algorithmic averages to flag suspected collusions.

- David

[Chris Martins]

Perhaps the best way to respond regarding the request for examples would be to cite John Bates in an article in Advanced Trading:

"Some of the types of patterns that can be detected are front-running of orders, which happens if a broker places a proprietary order in front of a client order and fictitious orders, where the orders are placed by a broker on behalf of a client without any intention of execution to inflate prices. Another abuse is price ramping where people buy available volume in the market as a manipulative transaction to cause the price to increase, notes Bates. Another tactic is known as “painting the tape” where people move the price up by taking the best offer price repeatedly in the market."

The complete article can be found in the URL below (apologies for the ungainly URL).

http://www.advancedtrading.com/blog/archives/2008/01/turquoise_taps.html;jsessionid=03R3UJBS1HFGKQSNDLOSKHSCJUNN2JVN

We are not at liberty to provide significant technical details about the event throughput or other aspects at this time.