Consolidated Audit Trail (CAT)

The CAT captures every event in an order's lifecycle from origination to execution or cancellation. Each order receives a unique CAT-Order-ID that persists across all venues and modifications.

• Tracks original order receipt, routing, modification, cancellation, and execution
• Links child orders to parent orders for full audit trail reconstruction
• Records FIX Protocol message fields including order type, quantity, and price
• Enables regulators to trace a single order across multiple Smart Order Routers and venues

CAT requires timestamps recorded at millisecond or microsecond granularity depending on the event type, synchronized to Coordinated Universal Time (UTC).

• Order origination events require timestamps to the millisecond
• Exchange matching engine events require microsecond precision
• Clock synchronization must align with NIST atomic clock standards
• Enables precise sequencing of events across colocated and geographically dispersed systems

The CAT captures personally identifiable information (PII) for every account holder behind an order, including the Legal Entity Identifier (LEI) for institutional participants.

• Requires full name, address, and date of birth for natural persons
• Maps beneficial ownership through omnibus accounts and allocation structures
• Uses encrypted CAT-Customer-ID to protect sensitive data at rest
• Enables cross-market surveillance for insider trading and market manipulation

The CAT consolidates data from all National Market System (NMS) exchanges, Alternative Trading Systems (ATS), and dark pools into a single repository.

• Ingests data from 20+ equities exchanges and 10+ options exchanges
• Captures Intermarket Sweep Orders (ISO) across multiple venues simultaneously
• Links trade-through violations to specific venue timestamps
• Enables detection of layering, spoofing, and wash trading patterns across fragmented markets

FINRA CAT, LLC operates the system on behalf of the SEC, with Industry Members required to report data by 8:00 AM ET on T+1.

• Small Industry Members have phased compliance deadlines based on trading volume
• Reporting errors must be corrected within T+3 through the error correction portal
• Non-compliance triggers Regulation SHO and SEC Rule 613 enforcement actions
• Data retained for six years with the first two years immediately queryable

The CAT uses a relational database architecture that links orders, executions, and allocations through a chain of unique identifiers.

• CAT-Order-ID links to CAT-Execution-ID for each fill event
• Allocation reports connect executions to specific customer accounts
• Inter-firm linkages trace routed orders between broker-dealers
• Enables full reconstruction of a single trading decision from portfolio manager to final execution across all venues

A synchronous validation gate that brokers apply to orders before releasing them to the market. CAT captures the output of these checks as part of the order lifecycle:

• Fat-finger validation: Rejects orders exceeding notional value or quantity thresholds
• Credit limit enforcement: Blocks orders that would breach counterparty exposure limits
• Position limit compliance: Prevents orders that violate regulatory or internal position caps

When CAT reconstructs a market disruption event, pre-trade risk check data helps regulators determine whether a broker's controls failed or were deliberately bypassed.

A metric quantifying the probability that incoming marketable orders are informed, causing adverse selection against liquidity providers. CAT data enables regulators to:

• Identify patterns of latency arbitrage where HFT firms exploit stale quotations
• Measure queue position advantages gained through colocation and fast market data
• Detect spoofing and layering by analyzing order-to-trade ratios and cancellation patterns

CAT's unified timestamp framework allows surveillance algorithms to correlate aggressive order arrivals with subsequent price movements across all venues, exposing predatory trading strategies.