Enhanced Surveillance and Flashing Detection

[lucaborella89]

What is Flashing: A manipulative trading practice where orders are placed and quickly canceled to influence market prices artificially.

Objective

1. Integrate TraderX's order and execution data with Google's Reg Reporting pipeline to:

• Detect Flashing: Identify patterns of flashing within TraderX's trading activity.

• Enhance Surveillance: Augment existing TraderX surveillance with granular flash detection.

• Streamline Reporting: Generate regulatory reports on flashing activity directly from the integrated system.

Proposed Architecture

1. Data Extraction:

• TraderX's order and execution data is extracted in real-time or near real-time.
• Data is standardized to match the Google Reg Reporting schema (e.g., order ID, timestamp, symbol, price, quantity, side).

2. Data Ingestion:

• Extracted data is ingested into Google Cloud Storage (GCS).
• Optionally, Apache Kafka or Google Pub/Sub can be used for real-time streaming.

3. BigQuery Integration:

• Data from GCS is loaded into BigQuery tables.
• BigQuery's SQL engine is used for complex analytics.

4. Google Reg Reporting:

• Flashing detection models from the Google Reg Reporting blueprint are applied to the BigQuery data.
• The models analyze order and market data to identify flashing patterns.

5. Alerting & Reporting:

• Flashing alerts are generated and integrated into TraderX's surveillance system.
• Regulatory reports on flashing activity are produced using BigQuery's reporting capabilities.

Benefits

• Enhanced Surveillance: TraderX gains granular, real-time flashing detection capabilities, supplementing its existing surveillance tools.
• Open Source Synergy: The combination of open-source tools (TraderX and Google Reg Reporting) reduces costs and promotes customization.
• Scalability: BigQuery handles large volumes of data, ensuring the solution scales with trading activity.
• Regulatory Compliance: The integrated system simplifies the generation of regulatory reports on flashing and other market manipulation.

[lucaborella89]

@gts-trading-analytics I came across the Google Reg Reporting blueprint earlier this year, you could be interested in pitching this (draft) use case on the 16th of July https://www.finos.org/open-source-in-finance-tech-sprint-2024 (cc @mescanne)