Ancoa, a dedicated big data technology for financial market surveillance, recently unveiled the results of its work with Intel, in a whitepaper titled “Multi-core Optimization for Market Surveillance”. Ancoa was developed specifically to enable market regulators and exchanges to enforce market integrity in the era of algorithmic trading.
"After the optimisation work performed with Intel, Ancoa is now capable of handling any number of financial messages for the conceivable future, even on generic hardware architectures", says Ancoa CEO Stefan Hendrickx.
Algorithmic and high frequency trading (HFT) have taken the financial markets by storm since 2005. The volume of messages sent to the financial markets exceeds 2,3 billion on volatile days like the downgrade of US debt in August 2011.
According to experts, peak volume is not yet in sight:
Enforcing market integrity in a world of "quote spam"
Financial market regulators are ill equipped to handle such volumes of financial messages, in particular, the orders and quotes that are cancelled before they lead to a transaction (aka “quote spam”). Some regulators have all but given up the fight against “black hat” algorithmic trading and HFT.
The trend of HFT and algorithmic trading has experts and market regulators worried. They fear that smaller investors are not entering a level playing field on the financial markets. Also, too little is known about systemic risk and the devastating effects that runaway algorithms can have on the financial system.
In the US, the SEC installed circuit breakers after the flash crash to prevent algorithms from causing havoc in the markets.
Still, market players, exchanges and regulators worry about algorithmic trading issues that stay below the radar and do not reach the threshold that triggers a circuit breaker.
[READ STEFAN HENDRICKX'S BLOGPOST 'ENFORCING MARKET INTEGRITY IN A WORLD OF QUOTE SPAM' HERE]
Microsecond trading and billions of messages per day at peak times require a fast and intelligent solution to monitor market integrity
What market regulators need is not only a big data solution that is able to capture the torrent of inbound financial orders, but also a layer of intelligence. Market regulators and other players concerned about market abuse and reputational damage (such as hedge funds) need the capabilities to see through the huge volumes, to understand what is really going on in the markets. That is the only way they can quickly detect market abuses including front running, insider trading, spoofing, layering and wash trading.
Ancoa was developed specifically to address these challenges. It offers regulators and market players a tool to monitor market abuse, erroneous trades and systemic risk in real-time, no matter the volume of financial messages. Ancoa logs financial messages across asset classes, auto-calibrates to establish “the norm” and automatically recognises suspicious patterns or trades in real time and flags alerts to regulators for investigation.
Ancoa is a dedicated, “big fast data” technology specifically developed to give financial market regulators and other market players the means to enforce market rules in today’s world of high frequency trading.
3.5 billion messages per multicore server
Ancoa technology is already in use by Tier 1 investment banks, trading venues and global messaging companies.
Recently, the company published a whitepaper with Intel, detailing the successful optimisation efforts by Intel and Ancoa to ensure a linear scalability.
[DOWNLOAD THE WHITEPAPER HERE]
“Thanks to the work we did with Intel, we managed to refine our linearly scalable solution to handle 3.5 billion messages per 6.5h trading session per multicore server - up from 1 billion messages”, says Stefan Hendrickx, CEO and founder of Ancoa. “Even if we estimate peak volumes of market messages to reach 20 or 30 billion per day in the next decade, Ancoa provides market players and regulators the capability to handle consolidation of such volumes using just eight Intel Xeon powered multicore servers.”
“Intel is delighted to have worked with the Ancoa team to optimise the performance of their technology in a Big Data environment like market surveillance, where the demands of regulators, exchanges and other market players for a high performance solution are very acutely felt.” Gordon Hughes, Global Sales Director of Financial Service Alliances at Intel. “With Ancoa, we demonstrated impressive scalable performance on the latest Intel® Xeon® processor E5-2680 v2. Coupled with Intel® VTune™ Amplifier XE for in-depth performance analysis, Ancoa has created a great solution for real-time message consolidation.”