As previewed in a recent speech by Securities and Exchange Commission Chairman Mary Jo White, the Commission on Wednesday launched a website that gives investors the ability to interactively crunch billions of market activity data records from exchanges.
Earlier this year, the SEC launched its internal Market Information Data Analytics System (MIDAS), which for the first time provided the SEC with data about every displayed order posted on national exchanges. Each day, MIDAS collects one billion records, time-stamped to the microsecond. The information comes from the consolidated tapes and proprietary feeds of exchanges and includes posted orders and quotes, modifications and cancellations, and trade executions both on- and off-exchange.
Traditionally, only sophisticated market participants have had access to all of this data, and even fewer have had the ability to process it, a statement from the SEC says. The next step was to disseminate this data to the public and the SEC's website allows users to explore key market metrics and trends based on aggregate analyses of tens of billions of MIDAS records over the last year. With the click of a mouse, results are available in easy-to-read, customizable charts and graphs. The website, located at www.sec.gov/marketstructure, collects data covering the full range of U.S.-listed equities – from the lifetime of quotes and the speed of the market to the nature of order cancellations.
At a press conference, White described the new site as a “game changer." “We've made great strides here at the SEC transforming how we take in market data, store it, and share it throughout the agency,” she said. “By also making this information publicly accessible, two great things should happen: It should increase efficiency so people don't have to struggle to find this information. And it should spur innovation by unlocking the power of data and research to unlock a wealth of ideas from investors, market participants, and academics.”
Among the MIDAS-collected data, previously unavailable on the public, that will be released:
- Ratios related to the number and volume of orders that are canceled instead of traded.
- Percentage of on-exchange trades and volume that are not disseminated on the public tape (odd-lot trades).
- Percentage of on-exchange trades and volume that are the result of hidden orders.
- Quarterly distributions analyzing the lifetime of quotes ranging from one millionth of a second to one day.
The website also provides a charting tool that allows users to compare and contrast data according to the type of security, market capitalization, volatility, price, and turnover. Users can explore detailed quote-life distributions, and download data series and quote-life distributions to perform their own analyses. It will also serve as a depository of staff research papers on market structure topics.