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

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

Transcript

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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 2 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 3 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 4 • 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 5 Detection of abusive behavior via monitoring and analysis of all market events Surveillance systems
6. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 6 Main goals of surveillance systems: • detection and prevention from market manipulations: - insider trading; - wash sales; - layering the book; - marking the close. Surveillance systems
7. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 7 Defect management Technical stability
8. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 8 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 9 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 10 Surveillance systems
11. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 11 • 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 12 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 13 Examples of metrics: • time to fix • which defects get reopened • which defects get rejected • which defects get fixed Defect Management
14. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 14 Defect clustering • Understand weaknesses of software • Improve testing strategy Defect Management
15. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 15 Attributes for cluster analysis: • Priority • status • resolution • time to resolve • count of comments • area of testing Defect Management
16. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 16 Defect Classification Defect Management
17. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 17 Reasons of defect reopening: • Bug report has insufficient information • Developers misunderstand the root causes of defect • Ambiguous requirements in specifications Defect Management
18. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 18 Using metric allows: • Define weaknesses in testing • Characterize actual quality of the bug fixing process • Define weaknesses in documentation Defect Management
19. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 19 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. Open Access Quality Assurance & Related Software Development for Financial Markets Tel: +7 495 640 24 60 , +1 415 830 38 49 www.exactpro.com 20 Thank you!