SEC Launches Public Website for Analyzing Exchange Data

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Explore:  Big Data Investors SEC

On October 9, the Securities and Exchange Commission launched a new website (www.sec.gov/marketstructure) designed to provide investors and other market participants with the ability to analyze market metrics and to access the SEC’s empirical research and analyses on market structure. The new website disseminates aggregated data drawn from the SEC’s Market Information Data Analytics System (MIDAS), which provides the SEC with a billion records each day from the consolidated tapes and feeds of national securities exchanges. The SEC’s new website makes data available to users in customizable charts and graphs, including:

  • 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; and
  • Quarterly distributions analyzing the lifetime of quotes ranging from one millionth of a second to one day.

The website also allows users to compare and contrast data series according to a number of metrics, to explore detailed quote lifetime distributions and to download data to perform their own evaluations. Additionally, this new website includes SEC staff research papers.

The SEC’s MIDAS website launch announcement is available here.