Pre-Processing Network Messages of Trading Systems into Event Logs for Process Mining
Process mining is emerging as an important discipline for the analysis, monitoring, and improvement of business and software processes. Methods from process mining are based on the use of formal
models and event logs, i.e., describing respectively the expected and observed behavior of system processes. This approach can be leveraged by the software testing industry for the log-based analysis of trading platforms. In this light, this paper presents an approach to extract event logs for process mining from network messages of trading systems. In particular, these messages are Financial Information Exchange (FIX) protocol messages, which are related to trading sessions in order books.