Accessibility Information

Users of assistive technologies such as screen readers should use the following link to activate Accessibility Mode before continuing: Learn more and Activate accessibility mode.

NATIONAL MARKET SYSTEM

Solicitation Number: RFI-ExchangeData
Agency: Securities and Exchange Commission
Office: Office of Acquisitions
Location: Office of Acquisitions
  • Print
:
RFI-ExchangeData
:
Sources Sought
:
Added: Sep 20, 2010 8:19 am
REAL-TIME TRADE AND QUOTE ANALYSIS TOOLS

INTRODUCTION

The Division of Risk, Strategy, and Financial Innovation (Risk Fin) and the Division of Trading and Markets (T&M) (collectively "the Divisions" or "the staff") of the U.S. Securities and Exchange Commission ("SEC") are seeking information on data analysis tools that will assist SEC staff in the collection, aggregation, and monitoring of real-time trades and quotes as disseminated by the various national securities exchanges, over-the-counter markets, and alternative trading systems. Risk Fin and T&M are seeking information about solutions that can amass order and trade data from the various trading venues as well as software applications and tools to help the Commission staff store, aggregate, access, manipulate and analyze equity order and transaction data.


BACKGROUND


The Divisions primarily use daily Trade and Quote (TAQ) data for monitoring and analyzing intra-day equity transactions. This data provides a view of the markets as seen from the consolidated tape, and is limited to top-of-book orders at each trading venue only. The Divisions would like to expand their capabilities by extending data collection to real-time feeds in ways that allow a fuller analysis of trading. Although equity trading is the principal focus of this inquiry, the Divisions would welcome information as it relates to trading activity in equity options or other equity instruments. As a general matter, the solutions and tools sought should enable the staff to collect, store and analyze equity market data with the same speed, ease and reliability as do some market participants.


SCOPE OF REQUEST FOR INFORMATION


The Divisions seek information regarding available, operational and well-tested data services and related database solutions that enable end users with knowledge of the National Market System and a moderate degree of technical expertise to perform some or all of the functions listed below:


  •  Store transactions and orders from the various equity exchanges with the   time of occurrence measured to the millisecond.
  •  Aggregate these transactions and orders with identifiers that preserve the original trading venue where the order occurred and any supplemental information related to the trade or order, such as order type, when available.
  •  Provide a data structure that allows these data to be accessed quickly and efficiently for analysis. Allow this to be done in specified intervals, such as in by-the-millisecond, by-the-second and by-the-minute snapshots.


Please specify the source of the data, together with any information on restrictions/limitations on use, reuse or redistribution. In particular, specify whether the data is from:


  1. The consolidated tape, i.e. reported through SIP;
  2. A proprietary data product sold by the exchanges;
  3. A non-public source, such as records from a market participant.


In addition, the SEC seeks information regarding software solutions available now that enable end users with knowledge of the National Market System and a moderate degree of technical expertise to perform some or all of the functions listed below:


  •  Graphically represent the order book for any given security (or collection of securities) in real-time, near real-time, and historically.
  •  Decompose trades and order book data to identify and highlight specific transactions according to market venue, size, time, or any other applicable variable.
  •  Create custom aggregate analyses for large quantities of data across many securities and over time representing order-book flow, trade executions, and other statistical measures based on sector, market venue, order type, volume, capitalization, and other current or future factors.


Please provide information about the challenges associated with, and your proposed solutions to addressing the challenges for:
  •  Accessing trade level data and order book data.
  •  Establishing the time of such trades and orders.
  •  Cleaning these data.
  •  Storing these data in a form that makes them readily available for analysis.
  •  Applying standard tools of analysis, such as clustering and partitioning the data, and applying operations such as averaging or regression analysis to the data, either directly or once recast in intervals.


Discuss the technology requirements for your proposed solutions. This may include:
  •  Information about the platforms, networking capabilities, databases, implementation processes, configuration options, and hardware requirements.
  •  Third-party data dependencies, feed requirements, and licensing.
  •  The ability for the SEC to securely use proprietary data within your solution. 
  •  Available end user and technical training and support services.
  •  Licensing methods and indicative pricing. Include any ongoing maintenance fees.


The staff welcomes responses about products that partially fulfill the functionality described so long as they are available, operational and well-tested. Commercial off-the-shelf (COTS) systems are not required but are preferable to custom-built solutions.


This RFI reflects the minimum functionality we seek. Respondents are encouraged to provide information on alternative and innovative solutions, functions, and designs, particularly if a respondent thinks it would produce superior results. This might include the flexibility to collect, store and analyze non-displayed equity market order data available to only to exchanges and regulators.


RFI respondents must respond in the form of a Capability Statement that addresses: 1) the product's ability to fulfill the above functionality, 2) your company's profile and experience in providing these types of solutions, if any, and 3) any other relevant information that would enhance the staff's understanding of the information submitted. If all or any portion of the required capabilities can be provided via commercial off the shelf software, please so indicate in your response.



DISCLAIMER


This RFI is issued solely for information and planning purposes and does not constitute a solicitation. In accordance with FAR 15.202(e), responses to this notice are not an offer and cannot be accepted by the SEC to form a binding contract. Responders are solely responsible for all expenses associated with responding to this RFI. All information received in response to this RFI may be marked proprietary, and Responders may seek confidential treatment. Responses to this RFI will not be returned. Respondents will not be notified of the result of the review.


 

Added: Oct 05, 2010 2:37 pm
Questions and Answers for RFI

1. Will SEC provide access to real time trade data that can be used to store, aggregate, and manipulate to analyze equity order and transaction data?

At this time the SEC is conducting market research and has not established our requirements. Do not assume we will provide real-time access to the data. The Commission staff is interested in viewing total solutions that can identify its source of the data and can process the data.


2. Will SEC consider responses that provide the capability to store, aggregate, and manipulate to analyze equity order and transaction data and be dependent on SEC to provide the source data?

At this time the SEC is conducting market research and has not established our requirements. A solution should demonstrate these capabilities with the actual data that we are interested in viewing. The Commission staff is interested in viewing total solutions that can identify its source of the data and can process the data


3. There is no mention of providing a cost estimate; should we assume that this is not required for this RFI response?

The RFI requested pricing information.


4. Will there be a vendor question and answers meeting via conference call or in person at your offices prior to the submission of the RFI response?

We may meet with vendors via conference call or in person or may not, depending upon the responses.


5. What are next steps besides the submission of the RFI response?

The RFI is a market research tool. There is no guarantee that we would proceed with a solicitation, but we could.


6. Can we contact you to speak with you at any point in the near future if needed?

Yes.


7. The RFI does not stipulate a page count or method by which the SEC prefers delivery of a response.

There is no page count but the SEC prefers the minimum number required to adequately respond. The delivery method preferred is electronic.

:
6432 General Green Way, MS 0-20
Alexandria, Virginia 22312-2413
United States
:
Not applicable. This is only a Request for Information.

United States
:
Linda L Baier,
Contracting Officer
Phone: 202 551 7315
Fax: 703 914 9226