Aquis market surveillance (AMS)

Aquis Market Surveillance (AMS) is a stand-alone market surveillance platform for exchanges, MTFs, brokers and other trading firms

Designed to effectively monitor algorithmic and high frequency trading as well as more traditional trading flow

Real-time trade supervision

Market abuse detection

Case-management compliance

Fully compliant with:

FCA Code of Market Conduct

Market Abuse Regulation/Directive II (MAR/MADII) and ESMA guidance

ESMA’s guidelines for controls in an automated trading environment (ESMA 2012/122), MAR, and MiFID II RTS 6 (organisational requirements for firms engaged in algorithmic trading) require robust automated market abuse controls to be in place, covering the full range of trading activities undertaken by the investment firm and all orders submitted by it. A surveillance system’s design should have regard to the nature, scale and complexity of the investment firm’s trading activity, such as the type and volume of instruments traded, the size and complexity of its order flow and the markets accessed.

Pre-trade controls focusing on orderly markets should be implemented for real-time alert triggering.

Aquis Market Surveillance caters for high trading volume real time alerting and T+1 processes, configured per asset class, per instrument type, per alert, ensuring trading firms are fully compliant with current and future regulations as MAR and MiFID II take effect.

Market

Key features

Real-time and T+1 trade surveillance

Real-time alert stream identifies disorderly trading conditions and potential breaches of rules.

Order Book Replay

Full order book reconstruction, displayed with powerful graphics to allow the analyst to step through the order book for a single consolidated view of trading data.

Case management

During more detailed investigation, information can be efficiently processed, recorded and saved chronologically.

Intraday alert parameter control

Surveillance analysts have complete intraday alert parameter control.

Market abuse indicators

Sophisticated alert logic covering orderly trading alerts and market abuse alerts.

Multi asset class

Highly customisable alerts, configurable to any asset class.

MIS

Comprehensive reporting tools to generate detailed records by alert type and user over a specified timeframe.

Graphical displays

Timeline detail and
order book replay
Long-term trading view,
customisable date range
Long-term trading view,
customisable theme
Real-time alerts feed and
case management view

Order book replay and reconstruction offers a wealth of order-related information. Displayed in conjunction with graphical visualisation, users can step through each event with a single consolidated view of all order book activity.

Timeline detail and
order book replay
Long-term trading view,
customisable date range
Long-term trading view,
customisable theme
Real-time alerts feed and
case management view

Alert suite

Large Order Entry

Flags erroneous large orders, rogue algorithms, spoofing and layering

Traded Price Previous Close

Triggered by a large price movement from the previous closing price. May indicate a corporate action, high volatility or an erroneous trade

Short Order Lifespan

Identifies entry of a larger number of orders in an instrument within a short time period that have a minimal life span before they are cancelled

Short Selling Regulation

Alerts when the price of an instrument falls by 10% or more from the previous close

View

Quote Stuffing

Flags cases of a trader quickly entering and withdrawing a large number of orders in an attempt to flood the order book of a given instrument

Alarm

Large Traded Volume

Identifies insider dealing, manipulation through increased trading and marking the close

Alarm

Layering

Alerts when a trader obtains a dominant position on one side of the order book, creating false impressions of supply or demand

Alarm

Trade Ignition Momentum

Shows when a number of trades are used to generate momentum in the price movement of an instrument, creating a misleading impression of supply or demand

Alarm

Front Running

Identifies potential front running of client orders

Alarm

Ping Order

Identifies use of pinging to seek hidden quantities of iceberg orders or orders resting on a dark book. Also helps identify rogue algorithms

Alarm

Price Movement

Highlights unusual price movements, high volatility, potential erroneous executions and fat finger errors. Helps to monitor algorithms to ensure they are orderly

Alarm

Wash Trading

Flags when a trader buys and sells an instrument, without a change in beneficial ownership or market risk

Alarm

Painting the Tape

Determines when a trader executes a series of trades on an exchange, potentially giving the impression of increased market activity or price movement

Alarm

Insider Trading

Highlights potential insider dealing and looks at historical trading patterns ahead of

AMS checklist

Feature

All ESMA/FCA compliant alerts available Tick

Aquis Exchange is a member of the FCA surveillance committee Tick

Real-time Tick

Multi-asset class Tick

Intraday, audited, parameter changes Tick

High message capacity Tick

In-house, UK-based development team Tick

Additional bespoke, customisable alerts Tick

Full training & support Tick

Cost effective Tick

Tick Tick Tick Tick Tick Tick Tick Tick Tick Tick

Technical features

Ability to receive and process exchange data feeds and trading messages to turn these into graphical displays

High throughput and horizontally scalable – tested through the full rules library at 50 million messages per second

All data is kept in your chosen location for long-term data storage. Every 100 million messages requires approximately 10 Gb of storage. Aquis Technologies can compress this to further reduce the amount of storage required

Minimal hardware requirements