Archiving Trade Data

Complying with Trade Regulations

Traders operate under tight regulatory control. Under regulations like RegNMS and MiFID II, they are required to archive every trade. If a trade is called into question, they are able to accurately reconstruct the details of that trade.

Using 100% packet capture, and the nanosecond accurate timestamping offered by the EndaceProbe™ Analytics Platform and DAG™ Packet Capture cards, ensures a comprehensive, persistent and searchable carbon copy of every transaction traders make, allowing them to meet regulatory obligations with ease.

Wireline-based timestamping provides the sub-microsecond accuracy that Traders need in order to comply with regulatory obligations.

Complying with MiFID II's Timing Directives

MiFID II is the most far-reaching regulation that Traders have yet to face. Complying with these tough new obligations can be challenging.

There are numerous obligations imposed by MiFID II. Under the new RTS 25 regulation, for example, clocks used for time stamping must be accurately synchronized to Coordinated Universal Time (UTC), and accurate to within levels specified for different types of trades.

For high-frequency algorithmic trading, the precision of timestamps applied to trade data must be one microsecond or better, and the maximum allowable divergence from UTC is 100 microseconds. Wireline timestamping, as provided by EndaceProbes and DAG cards, is done in hardware, and provides the level of precision that allows traders to record their trade data with the accuracy that RTS 25 requires.

Precision time-stamping is not new. Endace has been doing it for years, and so have other vendors. Both EndaceProbes and DAG cards have a dedicated time-signal port that supports both 1PPS and IRIG-B signals, as well as IEEE 1588-2008 Precision Time Protocol (PTP) over Ethernet for long reach and wide compatibility.

But that's not the difficult part of complying with MiFID II's RTS 25.

The difficulty is being able to track and record that the time stamping remains accurate over the entire trading period, despite changes that might occur in the trading environment.

How Endace's Provenance can help

Provenance™ is a feature of EndaceProbe Analytics Platform and Endace DAG Cards that writes contextual metadata into recorded network traffic every second. Included in that data is the detailed timing information that traders need to be able to satisfy RTS 25's requirements.

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Timing Accuracy

Using IRIG-B or 1PPS signals to synchronize timing with an accurate time-source, such as a GPS receiver, provides accuracy in the sub 100ns range - orders of magnitude more accurate than MiFID's RTS-25 requires.

In some cases, PTP can also provide sufficient accuracy. But, it's important to understand the limitations of PTP when it comes to timesync accuracy - particularly in high-speed trading environments where timing accuracy is critical. For more detail about PTP timing in both LAN and WAN environments, and its limitations, read the whitepaper below.

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Endace Fusion

Complying with trade regulations and MiFIID II's Timing Directives is crucial to high frequency trading. Host third party analytics on the EndaceProbe Network Analytics Platform from our market-leading Fusion Partners to monitor network performance.

The Fusion Partner Program brings together solutions from leading analytics vendors who leverage the EndaceProbe's Application Dock hosting and workflow API to integrate Network History into their applications.

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