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FCW : April 30, 2014
CaseStudy The ash crash of May 6, 2010, caused a ve-minute panic on Wall Street --- and inadvertently drove what has become one of the most successful big-data projects in government at the Securities and Exchange Commission. Under the SEC s existing technologies, the crash --- a rapid 1,000-point plunge followed by a full recovery 15 minutes later --- took the SEC s investi- gatory unit approximately four months to reconstruct and analyze. That is an eternity in today s stock market, where trades are measured in microseconds. The report required an analysis of thousands of stocks order books and complex analytics to assess billions of records and reconstruct the crash s events. During the painstaking work, Gregg Berman, associate director of the SEC s Of ce of Analytics and Research, said it became clear that the agency s use of market technologies needed a dramatic modernization. "We knew we had to get a system," Berman said. "The very next thing we did after the report was begin to look at what we could do." Rather than retroactively try to reconstruct the next market anomaly, the SEC launched a concerted effort to ensure it would never again lack for information. The effort resulted in the January 2013 launch of the Market Information Data Analytics System (MIDAS), which collects more than 1 billion records per day from each of the 13 national equity exchanges, each time-stamped to the microsecond. For the rst time, the SEC has access to data about every displayed order posted in the national exchanges in near-real time. According to Berman, who won a Federal 100 award for his work on the MIDAS project, it gives the SEC the horse- power to monitor market activities as they happen and is invaluable in forensic analysis. It also provides valuable information for broader investigations conducted by other SEC components, and its data serves to inform better pol- icy decisions. "There are many blips," Berman said. "There is always something interesting happening in the equity markets." Given its full-scale capabilities on launch, MIDAS probably justi ed its small-by-federal-standards cost of $2.5 million in the rst year. The SEC con- tracted with Tradeworx, a financial technology company, to build MIDAS and hosted the entire operation in an Amazon Web Services cloud. Trade data comes from consolidated public and proprietary feeds and goes to the AWS public cloud, where it s fodder for advanced analytics and accessible to users behind an SEC rewall. From an IT perspective, the SEC s involvement is minimal, yet the vast data trove is accessed daily by a core group of SEC employees from various divisions for a variety of purposes. But rather than simply collect and store data, the SEC added signi cant value to an already successful project by sharing its data through intuitive visualizations. The SEC s website, launched in October 2013, allows users with a bit of market knowledge to examine metrics and SEC s MIDAS program shows how to do big data BY FRANK KONKEL The Market Information Data Analytics System gives near-real-time access to market trading data and offers valuable analytics for SEC and the public Data- rst is not the way. We wanted to know what questions we have to answer here and now. GREGG BERMAN, SEC April 30, 2014 FCW.COM 31
April 15, 2014
May 15, 2014