SOURCES SOUGHT
D -- NATIONAL MARKET SYSTEM
- Notice Date
- 9/20/2010
- Notice Type
- Sources Sought
- NAICS
- 541519
— Other Computer Related Services
- Contracting Office
- Securities and Exchange Commission, Office of Acquisitions, Operations Center, 6432 General Green Way, MS 0-20, Alexandria, Virginia, 22312-2413, United States
- ZIP Code
- 22312-2413
- Solicitation Number
- RFI-ExchangeData
- Archive Date
- 11/13/2010
- Point of Contact
- Linda L Baier, Phone: 202 551 7315
- E-Mail Address
-
baierl@sec.gov
(baierl@sec.gov)
- Small Business Set-Aside
- N/A
- Description
- 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.
- Web Link
-
FBO.gov Permalink
(https://www.fbo.gov/spg/SEC/OAPM/PCB/RFI-ExchangeData/listing.html)
- Place of Performance
- Address: Not applicable. This is only a Request for Information., United States
- Record
- SN02289890-W 20100922/100920235838-4250c024341c3fa0d5b04798ea4fe36b (fbodaily.com)
- Source
-
FedBizOpps Link to This Notice
(may not be valid after Archive Date)
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