Every trade surveillance program starts at step one: Where’s the data? You can come up with all the reports, alerts, and visualizations the heart desires, but absent the right data it’s just a list of empty requests. Data is the lifeblood of a good surveillance program. While much of the focus for surveillance is around the logic for finding patterns of activity, here we’ll focus on step one, the data integration challenges. Let’s start with data for listed products, such as futures and options. Go to the source. Get your firm’s unaltered data, direct from the horse’s mouth, the exchange. To protect your firm, you need the same data the enforcement groups and regulators have at their disposal. You don’t need all the data. Google has that covered. Think fit for purpose. You could get derailed by well-meaning teammates who tell you all the trades are in this risk system, or quant database, and already being used for X, Y, and Z. It’s appealing. It seems like less work to do. However, risk and P&L systems almost always save trade data with a different structure than an exchange sends them. Ripping apart some trade structures and aggregating others does of… continue reading
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Source: CTRM Center