1.
PAGE 1
Preparing for MiFID II / MiFIR
The New Norm for Monitoring, Reporting & Surveillance Of Trade Execution

2.
PAGE 2
Safeguarding The Trading Business
“You can sleep much better at night knowing you have an independent watchdog system that sees
everything. The scary situations are the events no one has imagined, and Corvil helps protect us from those.”
– MD Global Investment Bank
Corvil monitors
90% of the world’s
lit algorithmic
trades
Messages
per day
Analyzed each
day
Microsecond
synchronised
data
Transactions
daily
10 of Top 10
global banks
rely on Corvil
90% 227 50 10 170 10
10$
-6
Trillion BillionPetabytes
In An Algorithmic Digital World

3.
PAGE 3
Summary - The Corvil Proposition
Making MiFID II Implementation Simpler, Faster, Cheaper
UTC-SYNC TRADE
EXECUTION DATA
MiFID II Application
(RTS-6,7,22,24,25,27,28)
MiFID II DATA
WAREHOUSE
MiFID II
REFERENCE
DATA
PTP, PPS
Solution
A streaming analytics platform for real-time monitoring, order
record keeping, trade reconstruction and surveillance
Benefits
• Lowers regulatory tail-risk – independent trusted 3rd party
solution
• Minimizes changes to existing trading systems – an overlay
platform approach
• Zero / low overhead to execution performance – non-
intrusive data capture & monitoring
• Best-in-class data analytics platform for trade execution life-
cycle paid by “tax” of MiFID II
• Future-proofed data precision and accuracy for anticipated
tightening of requirements
GPS
Real-Time
Alerting &
Forensics
MiFID II
REPORTING
AUDIT
RISK
Client
Orders
Market
TransactionTrade Execution
Lifecycle
Orders
Data
CORVIL STREAMING ANALYTICS PLATFORM
real-time
monitoring
order-record
keeping
trade
surveillance
Cyber Threat
Intelligence

4.
PAGE 4
• RTS-6: Requires comprehensive real-time monitoring and
surveillance systems for algorithmic trades
• RTS-24: Requires precise record keeping of all messages
and events involved in trade execution life-cycle
• RTS-25: All “reportable events” ( ESMA/2015/1909
Section 3.1) need to be UTC synchronized with 1/100uS
accuracy “or better”
• Requires a new type of data i.e. machine-time data
• Intention is to enable audit and forensic inspection of the
sequence of trade events across all venues and members
MiFID II Driving New Requirements
For monitoring, order record keeping and transaction reporting
• [1] ESMA Consultation Paper, “Guidelines on transaction reporting, reference data, order record keeping & clock synchronisation” - 23 December 2015
• [2] ESMA, “Regulatory technical and implementing standards – Annex I” - 27 September 2015

5.
PAGE 5
“Notice there is a big, big focus on data quality. The information that
needs to be submitted must be ACCURATE and COMPLETE. Those
words were not present in MiFID I”
Ana Fernandes, Technical Specialist, Transaction Monitoring Unit, FCA
A New Norm of Data Quality Required
Emphasis on data accuracy, completeness, and timeliness
“The record of the precise date and time and of the details of any order
placement, modification, cancellation, rejection and execution should be
maintained. This allows monitoring the changes to the order throughout
its lifetime, that can be significant in detecting and assessing potential
market manipulation and front running behaviours.”
RTS-24: Maintenance of relevant data relating to orders in financial instruments

6.
PAGE 6
RTS-25 Article 4
• “Operators of trading venues and their members or
participants shall establish a system of traceability to UTC.
They shall be able to demonstrate traceability to UTC by
documenting the system design, functioning and
specifications. They shall be able to identify the exact point at
which a timestamp is applied and demonstrate that the point
within the system where the timestamp is applied remains
consistent. Reviews of the compliance with this Regulation of
the traceability system shall be conducted at least once a
year. “
Clock Synchronization Requirements
for timestamp and capture of RTS reportable events

7.
PAGE 7
• Will need major upgrades to IT systems
• Requires consideration of “intent” and “future” rules
• PTP distribution network to every server for UTC sync
• Server upgrades to support PTP input
• Application code changes and/or software re-architecture
• New database system to handle precision timestamps
• Distributed data collection and normalisation system
• Test and calibration system for UTC compliance (RTS25, Article 4)
New Challenges For The Business
Unquantified Cost, Complexity And Risk

8.
PAGE 8
Understanding UTC Timestamping
for RTS Reportable Events
Host Machine
Wire In Wire OutT1 T2
T3
T4 T5
UTC
Time Source
PTP
Time Distribution
Trigger Event
Response Event
Decision Event
!
T1 < T2 < T3 < T4 < T5
Wire Timestamp Host Timestamp Application Timestamp
• Reliable distribution of UTC
• Re-architecting software / databases
• Overhead of timestamping in host
• Assuring causal sequence of events
• Robust data collection system
• Maintenance of system to spec
Challenges
e.g. SOR, OMS, EMS,
Order Gateway

9.
PAGE 9
The Corvil Approach
UTC Time Synchronized Streaming Analytics
Wire In Wire Out
T1
T2
T3
T4
T5
UTC
Time Source
Trigger Event
Response Event
Application
Agent
CORVIL DATA
STREAMS ETL
CORVIL
STREAMING
ANALYTICS
ENGINE
TRADING
DATA
HUB
e.g.
Hadoop,
Kdb+,
SQL
REFERENCE
DATA
PTP, PPS
• Auto-discovers all trading sessions
• Performs time-stamping, decode, extract,
correlation, normalization and publishing
• Maintains precision store of full execution life
cycle for transaction – including mkt data
• Single appliances scale to millions of events
per second, and ingests from hundreds of
network points.
• Hardware ns timestamping - PTP and PPS,
and alerting for synchronization outages
• Normalizes and streams reportable data via
an open API to big data store
UTC
Time Source

10.
PAGE 10
Example - DEA Client-Venue Gateway
Passive Wire-Data Analytics for Order Record Data
Client
Orders In
Market
Orders Out
DEA
Gateway
Network Packets
UTC Time
Distribution
Wire Data
TAP
Wire Data
TAP
t1 t2
Time
DEA Transit Time
*May require additional correlation data
GPS
Receiver
RTS-6 Article 21
• “DEA providers shall record the
relevant data relating to the orders
submitted by their DEA clients,
including modifications and
cancellations, the alerts generated by
their monitoring systems and the
modifications made to their filtering
process.”

11.
PAGE 11
1
2
3
Nanosecond
UTC
Timestamps
All Order
Events
Captured
Full Decode
Of Order Fields
1
2
3
Order Record Capture

12.
PAGE 12
Real-Time Monitoring
Anomaly Detection and Alerting
Orders
In
Orders
Out
Client
Gateway
Network Packets
UTC Time
Distribution
Wire Data
TAP
Wire Data
TAP
*May require additional correlation data
GPS
Receiver
RTS-6 Article 16
• “Monitoring systems shall have real-
time alerts to assist staff in identifying
any unanticipated activities undertaken
by an algorithm. Investment firms shall
have a process in place to take
remedial action as soon as possible
after an alert is generated, including, as
necessary, an orderly withdrawal from
the market. These monitoring systems
shall also provide alerts in relation to
algorithms and DEA orders triggering
circuit breakers of a trading venue.
To SOR
Programmable
Real-Time
Alerting

13.
PAGE 13
1
2
3
Programmable
Real-Time
Alerts
User Search
On Any Fields
Full Decode
And Highlight
Of Alert Event
1
2
3
Order Record Capture

14.
PAGE 14
Instrumenting Trading Application Stacks
NEW Corvil Application Agent
Market Data In Orders Out
Algorithmic
Decision
UTC Time
Distribution
Wire Data
TAP
Wire Data
TAP
t1 t2
Stac
k &
OS
Time
A1 A2 A3
W1 W2
A1 A2 A3W1 W2
t3 t4 t5
Stac
k &
OS
Application
Total Tick to Order Time
Application Events
A1 – Process Tick
A2 – Decision to Trade
A3 – Send Order
GPS
Application Agent
• Ultra-low application overhead – API call
• Accurate time-stamped events from within
application
• High Performance: Up to 200,000 events
per second, per host.
• Java & C/C++ Libraries
• Forwarded to CNE for analytics integration
and normalization
• Suitable for OMS, EMS, SOR, and
Matching Engine
• “Decision to deal”
• “Transaction time”

15.
PAGE 15
Precision Forensic Traceability
Of Reportable Event Life-Cycle
• Edge to edge life cycle
• Wire to App To Wire
• Full context of event
• Tracks trigger and response
events
• Alerts on negative latencies
• Drill down to raw packet or
event data

16.
PAGE 16
DEMO
DEA Order Tracking

17.
PAGE 17
A New Norm For IT Systems Monitoring
The Obligation Lies With The Investment Firm
“Using a sufficiently detailed level of time granularity, the investment
firms’ monitoring systems shall be able to read, replay and analyse
order and transaction data on an ex-post basis, with sufficient capacity
to be able to operate in an automated low-latency trading environment
where relevant, and generate operable alerts.”
“Staff members in charge of real-time monitoring shall respond to
operational and regulatory issues in a timely manner, initiating remedial
action where necessary.”
“Investment firms shall set up and maintain appropriate arrangements
for physical and electronic security that minimise the risks of attacks
against their information systems.”
RTS-6

18.
PAGE 18
VENUE
GATEWAY
Market Data
CNE CNE CNE CMC
REAL TIME MONITORING
Order FlowIT Systems
The Corvil Solution
A Streaming Data Capture and Analytics Platform For MiFID II
CORVIL DATA
STREAMS MONITORING API
UTC
TIME SOURCE
CYBER THREAT
INTELLIGENCE
TRADING
CLIENTS
FIX
GATEWAY
OMS
TO
VENUES
SOR
UTC
TIME SOURCE
RECORD KEEPING TRADE
RECONSTRUCTION
EVENT FORENSICSDATA PUBLICATION
REAL-TIME
ALERTS
MiFID II DATA
WAREHOUSE
MiFID II
REFERENCE
DATA
MiFID II
REPORTING – AUDIT – RISK ANALYSIS
PTP
PPS
GPS
UTC-SYNC TRADE
EXECUTION DATA
MiFID II Application
(RTS-6,7,22,24,25,27,28)

19.
PAGE 19
Future Proofed nS Precision UTC-synchronized Hardware Time-stamps
Independent, Non-intrusive,
Comprehensive (auto-discover)
Ultra-low-overhead software library
Simple to Implement
Dedicated System For Data Discovery, Collection, Monitoring & Publishing
Network Events
Benefits Of Corvil Approach
Application/Log Events
Overlay avoids costly changes to existing IT systems & Available NOW

20.
PAGE 20
Build vs Buy
In-house development OR One-off Purchase
“How long will it
take to build?”
”How much
will it cost?”
“What’s the risk
in upgrading our
critical systems?”
“Can we buy a
solution off the
shelf more
economically?”

21.
PAGE 21
Business Dashboards
(Continued)
Why Corvil?
• A trusted 3rd party
• Corvil is viewed as the trusted independent third party provider of transparency and forensic
machine-time data to the trading industry
• Corvil will not only enable you to meet the reportable events compliance obligations but has
the data accuracy and context to defend a forensic audit
• Lower total cost
• Corvil total cost of ownership has consistently proven to be 50%+ lower than
implementations successfully operationalized in-house
• People often significantly underestimate the cost to maintain and evolve
• Reduced complexity and time
• Corvil solution is unique in terms of ability to “plug-in” and “go live”
• Minimum disruption to existing trade plant and software systems

22.
PAGE 22
Next Steps?

23.
PAGE 23
Thank You