AuditChain: A Trading Audit Platform Over Blockchain

31 Pages Posted: 7 Jun 2019

See all articles by Guy Vishnia

Guy Vishnia

University College London - Financial Computing and Analytics Group, Department of Computer Science; ITG, Inc. - ITG London

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Date Written: May 21, 2019

Abstract

A blockchain architecture and solution is proposed to audit processing under exchange regulation for trading activity of exchanges. A particular focus is made on dark pools and periodic auctions. An architecture of the solution is described conceptually and an implementation of the proposed solution is made in .NET framework in C# via a RESTful API for chain interaction with the periodic auction venue. The framework proof of concept is tested for different efficiency and latency considerations. This opens the concept to significantly more detailed and extensive developments.

Keywords: Regulation; Blockchain; Auditing; Distributed Ledger; Auctions; Periodic Auction; Dark Pools; Liquidity; Electronic Trading

Suggested Citation

Vishnia, Guy and Peters, Gareth, AuditChain: A Trading Audit Platform Over Blockchain (May 21, 2019). Available at SSRN: https://ssrn.com/abstract=3391634 or http://dx.doi.org/10.2139/ssrn.3391634

Guy Vishnia

University College London - Financial Computing and Analytics Group, Department of Computer Science ( email )

Gower Street
London, WC1E 6BT
United Kingdom

ITG, Inc. - ITG London ( email )

Ropemaker Place
25 Ropemaker Street
London, EC2Y 9LY
United Kingdom

Gareth Peters (Contact Author)

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

Edinburgh Campus
Edinburgh, EH14 4AS
United Kingdom

HOME PAGE: http://garethpeters78.wixsite.com/garethwpeters

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

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