The US Securities and Exchange Commission (SEC) has unveiled a new dynamic website today that will provide investors with the ability to explore a range of new market metrics interactively as well as gain access to empirical research and analysis to further inform the broader public debate on market structure.
The new site is located here and 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'.
“We are launching what we believe to be a game changer that focuses the market structure debate as never before on data and analysis rather than anecdote,” said SEC Chair Mary Jo White, who unveiled the website at an SEC news conference. She was joined by officials from the agency’s Division of Trading and Markets and its Division of Economic and Risk Analysis.
“We’ve made great strides here at the SEC transforming how we take in market data, store it, and share it throughout the agency,” Chair White 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.”
This follows on from the SEC's internal 'Market Information Data Analytics System' (MIDAS) launched earlier in the year that has given the SEC data about every displayed order posted on national exchanges. Until now only a few sophisticated market participants have been able to gain access to the data, let alone have the ability to process it. This new website says the SEC '…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.'
Among the MIDAS-collected data that is generally unavailable on the public consolidated tape that the SEC’s new website will make available are broadly:
• 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 includes charting tools, methodology documents and staff research papers and the SEC says it is looking forward to receiving feedback on the site and its implications.