- Introduction
- Market Surveillance System Testing: Key Challenges
- Exactpro Test Approach
- The Data Consistency Part
- Alerts Testing
- Alerts Testing – Production Data Replay
- The Next Generation of Market Surveillance Systems
Introduction
This case study highlights the challenges and the complexity of testing Market Surveillance Systems connected to trading platforms, market data providers, involving various data mining processes, alerting mechanisms, and having different degrees of process distribution complexity.
Exactpro have tested a number of Market Surveillance Systems across different markets and locations. Our expertise spans:
- Building and maintenance of test/regression libraries covering system platforms E2E;
- Automating the testing process using proven tools and methodologies;
- Building up a holistic approach encompassing the full cycle of Market Surveillance Systems Testing based on our experience of testing the world’s leading Trading, Exchange and Clearing platforms.
Market Surveillance Systems are typically interconnected with numerous trading platforms, market data feeds and news feeds, and the introduction or upgrade of any of those systems can seriously impact the effectiveness of the monitoring platform.
Testing is frequently performed by members of the compliance or market control functions – themselves valuable business resources – because testing requires a comprehensive understanding of the surveillance monitoring function.
The optimisation of the Market Surveillance System ensures that false positives and errors are minimised, meaning the monitoring team are able to be more efficient, and, hence, are able to:
- Mitigate the costs and effort of the compliance team in testing;
- Ensure market regulatory requirements are met and documented.
Market Surveillance System Testing: Key Challenges
A market surveillance system is a complex system that includes a set of subsystems:
1. A gateway subsystem that obtains data from different data sources such as:
- trading systems
- market data providers
- trade reporting systems
- reference data systems
- unstructured data
- 3rd-party data vendors: FX rates / regulatory news announcements
2. A data enrichment subsystem:
- internally calculated statistics
- analytics module
3. Real-time and offline alert engines to detect abusive market behaviour:
- rule-based engines
- advanced engines that include machine learning
- data mining engines