Our eBook on MiFID II Clock Synchronization: https://goo.gl/RVIxU2
James Wylie talks us through how Corvil's MiFID II solution is a foundational data platform approach to provide critical functionality and data required for compliance with RTS-6, RTS-7, RTS-22, RTS-24, RTS-25, RTS-27 and RTS-28/ OR /In this video we are going to explore how Corvil can be used to easily and economically help you to meet the new regulatory demands being introduced in MiFID 2.
In this video we are going to explore how Corvil can be used to easily and economically help you to meet the new regulatory demands being introduced in MiFID 2.
We are specifically going to focus upon the requirements of Order Record Keeping and Transaction Reporting. And we are going to look at these in the context of a DEA Brokerage. Now both these new requirements demand a means of capturing and storing “Reportable Events” (essentially trading interactions) that must include a high precision time-stamp that is accurately synchronised to UTC.
For transaction reporting, the precise time when an order is executed must be reported. But Order Record Keeping in arguably more demanding as it stipulates a full audit trail of every trading interaction and they must be stored for period of at least 5 years.
So how do you capture this information, in a way that will satisfy the regulators while minimising disruption and keeping costs low?
Well, there are generally two approaches:
Firstly, to make enhancements to the trading systems themselves to provide this information. But there are plenty of things to consider, because it will certainly involve changes to the software and potentially significant rewrites of code to support the new granular timestamps. And of course the servers themselves will need to be equipped with high fidelity time-stamping cards which are synchronised with PTP to provide the crucial UTC time synchronisation. Once this has been developed and built it needs to be rigorously tested and also maintained going forward. So, the costs and time involved in such a project are often underestimated becoming a drain and concern to the business.
OR alternatively the second approach is to:
Use an dedicated system that can gather the information independently of the trading systems, meaning that no costly or disruptive changes are required to your finely tuned applications. Essentially the system is deployed non-intrusively as an overlay to the existing infrastructure - and this is the approach that Corvil takes.
But by deploying Corvil, you gain a technology that’s been adopted by the world’s leading banks and exchanges to safeguard their businesses, providing real-time monitoring, surveillance and cyber threat detection.
Order Record Keeping
To illustrate how this works let’s take a look at a simple example of a DEA Brokerage.
In this example, Corvil has been tapped into the network on both sides of the DEA infrastructure, so it’s seeing every interaction to and from the clients while simultaneously seeing every interaction to and from the markets on the right hand side.
And because Corvil is recording everything from the network, if a new client is on-boarded, or an additional exchange session provisioned, Corvil will see it without any intervention from yourselves.
The Corvil Stream we see here acts as a conduit, collecting the specific data that you need in real-time and making if available for consumption.
In the Corvil interface we can see the contents of the stream updating in real-time.
For every message Corvil is recording a UTC synchronised timestamp, with nano-second precision, it’s also recording where that message was seen, so it’s capturing a consolidated and time sequenced audit of all client and exchange interactions, precisely what’s required for MiFID 2 Order Record Keeping.
As we cast our eye across to the right we can see each message type and the key fields within the message.
The stream is continuously updating in real-time. But if I want to take a closer look at specific messages I have control to pause the view and apply a filter.
But MiFID 2 also stipulates that this data must be retained for a period of 5 years along with all the associated meta-data from other supporting systems. So Corvil makes it easy for you to reliably stream these time-stamped records to the data repository of your choice, by shipping with a comprehensive range of connectors for Hadoop, KX KDB+, SQL and many more.