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Using intelligent systems and
structural analysis to assure
orderly operations of the modern
trading and exchange platform...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 4...
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Using intelligent systems and structural analysis to assure orderly operations of the modern trading and exchange platforms

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Using intelligent systems and structural analysis to assure orderly operations of the modern trading and exchange platforms

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Anna Gromova, Olga Moskaleva, Exactpro
July 2016

Published in: Technology
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Using intelligent systems and structural analysis to assure orderly operations of the modern trading and exchange platforms

  1. 1. Using intelligent systems and structural analysis to assure orderly operations of the modern trading and exchange platforms Anna Gromova, Olga Moskaleva, Exactpro July 2016 Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 2460, +1 415 830 38 49 www.exactpro.com
  2. 2. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com2 London Stock Exchange Group • A leading diversified international exchange and infrastructure group with assets across the entire exchange value chain • The Group can trace its history back to 1698 • Headquartered in the United Kingdom, with significant global operations, the Group employs approximately 3,500 people • Post trade and risk management services are a significant part of the Group’s business operations • Through FTSE Russell, the Group is a global leader in financial indexing, benchmarking and analytic services with approximately $10 trillion benchmarked to its indexes
  3. 3. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com3 Software Quality Assurance experts for global financial markets enjoying steady growth thanks to expertise and unparalleled service Exactpro is: Clients Worldwide: • A specialist firm operating an open access model with focus on functional and operational testing of securities data distribution, trading systems, risk management, market surveillance and post-trade infrastructures. • A UK company with operations in the US and four QA & software development centres in Russia • Part of London Stock Exchange Group as of May 29, 2015 • Incorporated in 2009 with 10 people, our company has experienced significant growth as satisfied clients require more services; now employing over 370 specialists
  4. 4. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com4 • Fraud detection - prevent market manipulation, money laundering and other illegal activities. • Technical stability and search for possible software defects. Two dimensions of our work
  5. 5. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com5 Detection of abusive behavior via monitoring and analysis of all market events Surveillance systems
  6. 6. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com6 Main goals of surveillance systems: • detection and prevention from market manipulations: - insider trading; - wash sales; - layering the book; - marking the close. Surveillance systems
  7. 7. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com7 Defect management Technical stability
  8. 8. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com8 Areas of research in defect management: • automatic defect fixing • automatic defect detection • metrics and predictions of defect reports • quality of defect reports • triaging defect reports Defect Management
  9. 9. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com9 Modern tools for surveillance can: • Process a high frequency data flow. • Monitor, store and retrieve: - trade data; - order data; - market data. • Provide cross-market analysis. • Allow market replay. Surveillance systems
  10. 10. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com10 Surveillance systems
  11. 11. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com11 ● Fast growing markets ● Developing new tools and features ● Increasingly complex regulatory requirements Accumulating the huge volume of data Surveillance systems need to be more adaptive Surveillance systems
  12. 12. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com12 Methods of artificial intelligence in order to predict price movement: • deep neural networks for financial market prediction; • echo state networks in order to predict stock prices; • self-organized neuro-fuzzy system for stock market dynamics modeling and forecasting. Surveillance systems
  13. 13. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com13 Examples of metrics: • time to fix • which defects get reopened • which defects get rejected • which defects get fixed Defect Management
  14. 14. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com14 Defect clustering • Understand weaknesses of software • Improve testing strategy Defect Management
  15. 15. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com15 Attributes for cluster analysis: • Priority • status • resolution • time to resolve • count of comments • area of testing Defect Management
  16. 16. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com16 Defect Classification Defect Management
  17. 17. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com17 Reasons of defect reopening: • Bug report has insufficient information • Developers misunderstand the root causes of defect • Ambiguous requirements in specifications Defect Management
  18. 18. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com18 Using metric allows: • Define weaknesses in testing • Characterize actual quality of the bug fixing process • Define weaknesses in documentation Defect Management
  19. 19. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com19 Conclusions: 1. Intelligent procedures of the complex analysis need to be implemented in the surveillance systems 2. Clustering as way to understand and evaluate full array of bugs. Linguistic information of bug-reports is important for analysis. Future work: 1. Predict manipulations by methods of machine learning 2. Clustering of bug-reports and prediction of metrics “which defects get reopened”. Conclusions and future work
  20. 20. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com20 Thank you!

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