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Quantitative Finance · Glossary

What is Transaction reporting?

Definition 30.5 Research, Data and Risk Platforms · Chapter 30 — Surveillance and Compliance Technology

Transaction reporting sends a regulator, for every transaction in reportable instruments, a report in a fixed field format — in the European Union the fields of RTS 22 — identifying the firm, the buyer and seller (by legal entity identifier, Book 2, chapter 28), the instrument (by ISIN), the time, quantity, price and venue; a correction is a cancellation of the report and a new one. Unlike the post-trade publication of Book 2’s trade reporting, it is not public: it feeds the regulator’s own surveillance.

A week’s transaction reports from the two generators. The legacy one sends 41 reports that fail validation (and so never count), 6 duplicates, and 40 reports whose quantity no longer matches the amended trade; the event-sourced one, none. Data: fig_survpipe.py.
Figure 30.4. A week’s transaction reports from the two generators. The legacy one sends 41 reports that fail validation (and so never count), 6 duplicates, and 40 reports whose quantity no longer matches the amended trade; the event-sourced one, none. Data: fig_survpipe.py.
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