The Securities and Exchange Commission has launched a website to provide investors and others with the ability to interactively explore a range of new market metrics and access empirical research and analyses that further inform the broader public debate on market structure.
The new website will serve as a central location for the SEC to publicly share evolving data, research, and analysis as the agency continues its review of the equity of market structure. The data and related observations address the nature and quality of displayed liquidity across 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.
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. Every day, MIDAS collects one billion records time-stamped to the microsecond. The information comes from the consolidated tapes and proprietary feeds of each exchange and includes posted orders and quotes, modifications and cancellations, and trade executions both on- and off-exchange.
Typically, only sophisticated market participants have had access to all of this data, and even fewer have had the ability to process it. Through MIDAS, experts at the SEC have been extensively studying this data, and their research already has produced important results to help inform the agency’s thinking on market structure.
The next step in this market structure initiative is to disseminate the aggregated data and related observations drawn from MIDAS to the public. The SEC’s new 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 clear, easy-to-read charts and graphs.
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Among the MIDAS-collected data that is generally unavailable on the public consolidated tape that the SEC’s new website will be making available broadly:
- 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 new website contains an interactive charting tool that allows users to compare and contrast data series according to the type of security, market capitalization, volatility, price, and turnover. Users also can explore detailed quote-life distributions, and download data series and quote-life distributions to perform their own analyses. Methodology documents that detail all calculations are provided.
The new website also features staff research papers based on a variety of data sources, and staff reviews that identify and assemble information from the expanding economic literature on market structure topics. One paper using order audit trail data on off-exchange trading provides key metrics describing the underlying nature of off-exchange trading by the 44 alternative trading systems that trade equity securities. The primary observation of SEC staff is that ATS trading looks very similar in many respects to exchange trading. Another paper summarizes current studies that address market fragmentation – both visible and dark.
The new website is just the beginning of this initiative with more studies and analyses to come. SEC staff is looking forward to receiving feedback about the website and its implications.