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SEC Launches New Data Site

Washington, DC - The Securities and Exchange Commission is embracing big data in a big way today, by launching a new dynamic website to provide  investors and the public to explore a range of data and metrics of financial markets.  As part of the launch, the SEC unveiled a new analysis that shows the speed of equity markets, disclosing that nearly 100% of all orders on the open markets are either canceled or result in a trade within 10 minutes of an order placement.

The chart created by the SEC presents a summary of quote lifetimes over the period of Q2 2013 for corporate stocks traded across all exchanges.

The chart created by the SEC presents a summary of quote lifetimes over the period of Q2 2013 for corporate stocks traded across all exchanges.

Speed of Equity Markets

In its new Market Structure website, the SEC today gave a snapshot of the speed of trading on the market by examining the lifetime of the quote, which the SEC’s new data suggests have a lifetime of less than 10 minutes. More than one third of all orders stay in force for at least 5 seconds, and over 60% of all orders that are canceled are in force for more than half of one second.

No more than one quarter of all cancellations occur in less than 50 milliseconds and less than 8% of all cancellations are faster than 500 microseconds.  Of all canceled orders, 38.7% were in force for half of one second or less, 27.2% of executed trades were the result of some participant hitting posted orders within that same time period.

Quote lifetime analyses shed light on the overall speed of the market. “Comparing the distribution of quote lifetimes for quotes that are canceled versus those that result in trade executions reveals the extent to which the market is dominated by quotes that are canceled before they can ever be accessed,” according to the SEC analysis. “At present, the data show that the vast majority of quotes can be accessed by at least some market participants before they are canceled. The data does not show a market that is currently dominated by quotes that are canceled so fast that they cannot be accessed.”

Users can download data and review data through interactive charts online.

Market Structure Website

The new SEC Market Structure website will serve as a central location for the SEC to share publicly evolving data, research and analysis as the agency continues its review of the equity of market structures.

SECChart

The SEC’s new Market Structure sites allows users to analyze data through interactive graphs and charts, such as the chart shown above that compares trade frequency with the frequency of cancellations.

“We’ve made great strides here at the SEC transforming how we take in market data, store it, and share it throughout the agency,” SEC Chair Mary Jo 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.”

Article by A. Brian Dengler.

 

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