Exchanges, Brokers Face HFT Surveillance Challenge

In a single day, an independent high-frequency trading (HFT) operation may generate anywhere from 10 million to 20 million order and execution messages. For compliance officers at the executing brokers, there may be over a dozen HFT models from a variety of buy-side firms that they are legally required to monitor. A suspicious activity rate of even 1 percent can therefore lead to an unmanageable amount of data to interrogate and analyze.

Guidelines from regulatory bodies such as the European

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