The U.S. Securities and Exchange Commission (SEC) Wednesday launched a new website that it hopes will inform the debate over equity market structure by providing public access to the latest in data and research.
The SEC says that the new market structure website will provide investors, and others, with the ability to interactively explore a range of new market metrics and access empirical research that will fuel the broader public debate on market structure.
Earlier this year, the SEC launched its internal database, known as the Market Information Data Analytics System (MIDAS), which provides it with data about every displayed order posted on national exchanges. It says that market structure experts at the SEC have been extensively studying the data it has collected, and that this research is helping to inform the agency’s thinking on market structure. Now, it’s disseminating the aggregated data, and related research based on the MIDAS data, to the public.
Data that is generally not available on the public consolidated tape that the new website will be revealing, includes: ratios of the number and volume of orders that are canceled instead of traded; percentage of exchange trades and volume that are not disseminated on the public tape; exchange trades and volume that are the result of hidden orders; and, distributions analyzing the lifetime of quotes ranging from one millionth of a second to one day.
The new website also 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. It also features SEC staff research papers on a variety of market structure topics.
“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 site at an SEC news conference.
“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.”