v1.0.0 to v1.0.0

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name: eu-market-abuse-regulation-mar-surveillance

description: Quantitative trade surveillance engine for detecting EU Market Abuse

Regulation (MAR - Regulation 596/2014) patterns (spoofing/layering, wash trading,

quote stuffing) and generating STOR regulatory filings.

domain: Trade Surveillance & Regulatory Compliance

subdomain: Market Abuse & STOR Reporting (EU MAR)

tags:

- eu-mar

- market-abuse

- trade-surveillance

- stor-report

- spoofing-detection

- wash-trading

- quote-stuffing

brokers_frameworks:

- EU MAR Regulation 596/2014

- ESMA RTS 25 STOR

- Python Dataclasses

author: algo-trading-skills-contributors

license: Apache-2.0

---

## When to Use

Use this skill in European quantitative fund compliance, broker trade surveillance systems, and algorithmic risk monitoring. Under **EU Market Abuse Regulation (MAR - Regulation (EU) No 596/2014 Article 16)**, firms executing orders in European markets must establish automated surveillance to detect market manipulation patterns (Spoofing/Layering, Wash Trading, Quote Stuffing) and file **Suspicious Transaction and Order Reports (STOR)** to National Competent Authorities (NCAs) without delay.

## Prerequisites

- Trade and order event logs (`cl_ord_id`, `isin`, `side`, `price`, `qty`, `timestamp_ns`, `buyer_account_id`, `seller_account_id`, `order_status`).

- MAR detection parameters (`cancel_ratio_threshold`: 0.90, `quote_rate_threshold`: 500 msgs/sec).

## Workflow

1. **Wash Trading Detection**:

- Audit fill events where `buyer_account_id == seller_account_id` $\implies$ Flag `WASH_TRADE_ALERT`.

2. **Spoofing & Layering Pattern Detection**:

- Audit order cancellation ratio ($\frac{N_{\text{cancels}}}{N_{\text{orders}}} > 90\%$) with rapid order lifetimes ($< 100\text{ms}$) on one side followed by execution on the opposite side $\implies$ Flag `SPOOFING_ALERT`.

3. **Quote Stuffing Burst Audit**:

- Measure order message rate per second ($> 500\text{ msgs/sec}$) $\implies$ Flag `QUOTE_STUFFING_ALERT`.

4. **STOR Regulatory Report Generation**:

- Format ESMA RTS 25 STOR report for submission to NCAs (BaFin, AMF, FCA).

5. **Audit Report Generation**: Output structured `EuMarSurveillanceAuditReport`.

> Full procedure: see `references/workflows.md`.

> Standards reference: see `references/standards.md`.

> Printable pre-flight checklist: see `assets/checklist.md`.

## Common Pitfalls

- **Ignoring Order Cancellations in Surveillance**: Monitoring filled trades only, missing non-executed spoofing and layering order patterns.

- **Failing to File STOR Reports Promptly**: Delaying STOR submissions beyond the "without delay" regulatory window after detecting suspicious activity.

- **Conflating Market Making with Quote Stuffing**: Setting quote rate thresholds too low, flagging legitimate high-frequency market making quotes as market abuse.

## Verification

- Instantiate `EuMarSurveillanceEngine`. Submit trade execution with matching buyer/seller account IDs. Verify engine detects `WASH_TRADE_ALERT` and generates STOR filing data. Submit high cancellation spoofing stream ($95\%$ cancel rate, $50\text{ms}$ order lifespan). Verify engine flags `SPOOFING_ALERT`.

- Run `python scripts/test_eu_market_abuse_regulation_mar_surveillance.py`.

## Related Skills

- `cross-venue-latency-arbitrage-defensive-design`

- `order-to-trade-ratio-fee-penalty-avoidance`

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