It is actually a part of their sec.gov website, but it is a new part.
The SEC released its new MIDAS site to “promote better understanding of our equity markets and equity market structure through the use of data and analytics.” This is a fancy way of saying that you can make charts of market info that you usually don’t see in traditional stock tickers rolling across your t.v. screen.
I am still combing through it to see what it does and how it can be useful. It seems to provide some very detailed information relating to trading activity. We are not talking about mere buy-sell-bid-ask information for stocks, but information that generates pretty charts purporting to show how the market functions.
It seems aimed at understanding (or providing the premise for going after) the high frequency trading (HFT) crowd and flash crashes.
The SEC believes it will help it to monitor and understand mini-flash crashes, reconstruct market events, and develop a better understanding of long-term trends. To this end, MIDAS collects:
- posted orders and quotes on national exchanges;
- modifications/cancellations of those orders;
- trade executions against those orders; and
- off-exchange trade executions.
The SEC’s new website will be making available broadly:
- ratios related to the number and volume of orders that are canceled instead of traded;
- 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; and
- quarterly distributions analyzing the lifetime of quotes ranging from one millionth of a second to one day.
The website can be used to:
- compare and contrast data series according to the type of security, market capitalization, volatility, price, and turnover; and
- explore detailed quote-life distributions, and download data series and quote-life distributions.
It is not immediately clear to me how this will be used as a policy-making tool, but you can expect charts generated from MIDAS to be displayed in some very exciting Congressional hearings.