MiFID, which went into effect November 1, 2007, has brought about European Union-led regulatory changes which require brokers and exchanges to show more transparency in how their orders are worked and will dramatically alter existing market structure by lowering trade sizes and drastically increasing the amount of quote data. Most large financial services companies will have dedicated compliance in order to internally audit in objective fashion to see that all rules are being adhered to, but there are numerous technology challenges outside of pure compliance which can be solved by deploying CEP solutions capable of developing best execution strategies while also storing quote and trade data for the mandated five year period.

The major technology challenges lie in tick data storage. Capturing and storing real-time tick data and trades, to satisfy the burden of proof requirement a broker has swept the markets for best execution and best venue. Firms will need to retrieve the data when the regulators come knocking at the door in a fast and in a manner that integrates into their existing order management and compliance systems. The amount of data is massive, so much so that most traditional database technologies will not stand up to the challenge. High speed CEP databases are growing in popularity and are becoming a prerequisite to doing business in the new MiFID landscape.

A European broker needed to capture, analyze and store order book data from 8 different liquidity centers for European equities. It was preferable if the solution could monitor all transactions in real-time with the ability to handle advanced screening to filter and eliminate bad data plus track and report time and sales for multiple days. They also needed to develop new order routing strategies and create customized pre and post trade analytics to adhere to best execution requirements. The system had to be able to process and store up to a terabyte of data per day. As their need was urgent, the solution would have to interface with their existing SQL database that housed the existing data for their proprietary compliance application, which they did not want to re-write. After evaluating Velocity Order Book Analyzer™ for a week, the decision was reached to implement OBA and to remove SQL from the equation and interface directly to their compliance application.

• Customizable to meet multiple compliance models
• Monitors all transactions in real-time and stores data for over 5 years
• Trigger real-time alerts when compliance rules are breached
• Matches executions with order book snapshots for auditing purposes
• Eliminates need to integrate with multiple data sources and external databases
• Meets MiFID reporting requirements