Market regulator the Australian Securities and Investment Commission (ASIC) will build a new surveillance system incorporating functions used by high-frequency trading (HFT) firms.
The finance watchdog has chosen technology provider First Derivatives to design, build and host the new market surveillance system, giving it greater powers to monitor abnormal fluctuations in the market.
The Fist Derivatives Delta Stream+ Market Surveillance solution will let ASIC sift through large data sets and improve day-to-day market monitoring across different products and venues.
The new system will be built on ASIC’s existing surveillance framework, letting the regulator keep pace with increased message traffic, faster market technology and increased competition between trading venues.
Last month ASIC announced new market integrity rules in response to growing use of automated trading and dark liquidity.
The rules will be phased in over the next 18 months and include kill switches and extreme trading rules for high-frequency trades, as well as new requirements for dark pools relating to meaningful price improvement and reporting.
Meanwhile, earlier this week, ASIC reported on a spike in a number of ASX 200 companies that occurred on 18 October, although the watchdog ruled out a rogue algo or a predatory HFT strategy as the cause.
Large volume orders were sent to market early through a single broker causing some trades to be filled at significantly higher prices relative to the previous day’s trading. Those elevated prices then the impacted settlement price of the October SPI and consequently certain S&P/ASX 200 Index option contracts. ASIC has said it will continue investigating the matter.