Consolidated Audit Trail (CAT)
The Consolidated Audit Trail (CAT) is a comprehensive market surveillance system mandated by the SEC that captures and reconstructs all trading activity across U.S. equity and options markets. CAT processes millions of events daily, tracking orders throughout their entire lifecycle with nanosecond precision timestamps.
Understanding the Consolidated Audit Trail
The CAT system represents one of the largest financial databases in the world, designed to enhance market surveillance and enable complete trade reconstruction. It captures detailed information about every order, quote, and trade execution across U.S. equity and options markets.
Core components
Reporting requirements
CAT mandates reporting from various market participants:
Data elements and timestamps
Required data fields
The system captures comprehensive order details including:
- Customer information
- Time-in-Force instructions
- Order handling instructions
- Execution details
- Routing information
Timestamp precision
CAT requires timestamp granularity at the nanosecond level for transaction timestamping, enabling precise transaction latency analysis.
Next generation time-series database
QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.
Market reconstruction capabilities
Order lifecycle tracking
CAT enables complete reconstruction of the order lifecycle, tracking orders from inception through:
- Initial receipt/origination
- Route handling
- Modifications
- Cancellations
- Execution
Cross-market surveillance
The system facilitates cross-market surveillance by providing a unified view of trading activity across multiple venues.
Next generation time-series database
QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.
Regulatory impact and compliance
SEC oversight
CAT enhances the SEC's ability to:
- Detect market manipulation
- Investigate flash crashes
- Monitor algorithmic trading activity
- Enforce best execution requirements
Industry adaptation
Firms have implemented significant changes to meet CAT requirements:
- Enhanced data governance
- Improved data lineage tracking
- Upgraded time synchronization systems
Technology infrastructure
Data processing capabilities
The CAT system processes:
- Billions of daily records
- Petabytes of historical data
- Complex order linkages across venues
Data security and access
Implements robust security measures:
- Encryption of sensitive data
- Role-based access controls
- Audit trails for data access
Next generation time-series database
QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.
Future developments and enhancements
Planned expansions
CAT continues to evolve with planned enhancements:
- Additional asset class coverage
- Enhanced analytics capabilities
- Improved reporting efficiency
Industry impact
The system's evolution affects: