PWS_revised.pdf

PART II – PERFORMANCE WORK STATEMENT (PWS)

1. Background

The Office of the Comptroller of the Currency (OCC) charters, regulates, and supervises the National banks and the Federal branches and agencies of foreign banks.

Headquartered in Washington, DC, the OCC is responsible for promoting and assuring the safety and soundness of the country’s system of national banks and maintaining its competitiveness, efficiency, integrity, and stability in the financial marketplace.

The intraday trades and quotes dataset will help OCC to support its supervision efforts, conduct a quantitative assessment of the model risks associated with the use of credit/market risk models in trading securities, especially for capital and stress testing purposes, and other policy-related work. The agency is committed to protecting data confidentiality and only aggregate results (e.g. regression coefficients and tabular and graphical summaries of data that do not reveal information about individual records) will be published and/or shared with external co-authors.

2. Objectives

The OCC requires a responsible vendor to provide the historical and current intraday trades and quotes data (Data Set). The OCC will access this data through bulk data downloads. The contractor shall provide access that enables the OCC to bulk data downloads the required data.

3. Scope of Requirement

The Intraday Trades and Quotes Data Set Requirement must encompass all elements and details necessary to provide the Economics Department the required Data Set as identified in Section 4.

4. Performance Requirements

The vendor shall provide:

4.1 Data Set - Technical Requirements

The Data Set is required to contain the following:

• The trade and quote historical and current data for all securities listed on the New York Stock Exchange, American Stock Exchange, Nasdaq National Market System and all other Consolidated Tape Association (CTA) participants.

• Tick by tick price and quote historical data back to 1993.

• Price, Volume, Trade Sales Condition

• Daily trade and quote file

• Dividend information

• A master file with primary Exchange indicator, NBBO (National Best Bid and

Offer) file, and consolidated trades and quotes for all listed and non-listed issues

• Product timestamps with higher granularity

• Larger coverage of the securities

• A longer time series of historical data

• The bulk-downloads shall be provided as .csv, .txt, or .dat files

The OCC has the following preferences for the Data Set, which are not requirements, but will be preferred when assessing quotations:

• Monthly trade and quotes

• Providing the consolidated trades by matching NBBO’s Bid and Ask midpoints with trades at different time window.

• A file link to match with other products such as CRSP, COMPUSTAT, I/B/E/S

• Country indicator, industry indicator

4.2 Data Set - Descriptive Details for Each Observation

The Data Set shall contain complete trade and quote data of all activity within the U.S.

National Market System and include the following variables: stock symbol/ticker, CUSIP, Company name, transaction date, trading time, bid, offer, volume, trade sales condition, NBBO, exchange indicator, country indicator, industry indicator.

4.3 Data Set - Updates

The historical and current data in the Data Set shall be updated quarterly, but monthly is preferred. Changes to the data or the inclusion of new data shall be clearly identified in each update.

4.4 Data Set - Accessibility

The Data Set shall be Section 508 Compliant and accessible to allow OCC employees and contractors to extract the datasets and convert them into a standard database program.

OCC employees and contractors shall be able to (1) share the datasets with other OCC employees and contractors, regardless of location; (2) make public presentations of their analysis of the dataset, in written, graphical or chart form; (3) use their analysis of the dataset to publish journal articles, working papers, or other articles; and (4) use the analysis of the dataset in their bank examination role, and (5) retain the data in perpetuity.

4.5 Data Set - Technical Support

The contractor shall provide technical support to OCC users of the dataset, including guiding OCC users through the use of the data.

5. Deliverables

The contractor shall submit the data and supporting documentation 14 days after contract award. The documentation shall meet the following requirements:

(a) Data sources. The name and basic descriptive features of all the source database(s) and file(s) from which the Data Sets were developed. They shall include detailed information on trades, quotes, and a master file with primary Exchange indicator, NBBO (National Best Bid and Offer) file, and consolidated trades and quotes for all listed and non-listed issues. Data files are sorted by Symbol and Time.

(b) Data Documentation. A detailed explanation of procedures (e.g., data coverage, data structure, data dictionary, crosswalk file with other datasets etc.) by which the Data Sets were developed. Clear definitions of all data items provided. The vendor is expected to provide detailed technical documentation of how the NBBO was calculated.

Throughout the course of performance of the contract, the contractor shall provide responses to clarifying questions regarding the deliverables listed in items (a) - (b) above.

6. Method of Delivery

6.1 Bulk data electronic downloads. The contractor shall provide software or contractor services that shall allow quarterly or monthly historical and current intraday trade and quote data tracing back to 1993 to be downloaded by the OCC on an ongoing monthly basis through a bulk data download. The contractor shall provide technical support associated with the software usage to the OCC in order to download these data. The data shall be provided as .csv, .txt., or .dat files.

6.2 Documentation. The Documentation shall be delivered as electronic files, preferably as PDF documents.

7. Software Interface/Portal Performance Requirements

The contractor shall assess its performance against the performance standards in the Performance Requirements Surveillance Summary

8. Performance Requirements

The Contractor shall assess its performance against the performance standards in the Performance Requirements Summary.

Task Areas (Performance Requirements)

Standard (s) and Acceptance Quality Level

(AQL)

Monitoring Method Incentive/Disincentive

8.1 Data Set - Updates

Provide timely updates to the Data Sets.

The Data Set shall be updated at a minimum on a quarterly basis with 3 business days after the calendar month/quarters end.

Quarterly Monitoring

Incentive: 100% payment for meeting AQL;

Disincentive:

Unfavorable Contractor Performance Assessment Reporting System

(CPARS).

8.2 Data Set – Accessibility

No issue in performing the quarterly bulk data downloads

The OCC must be able to perform the monthly/quarterly bulk data downloads with no issues. No more than 1 incident per calendar year (other than user error).

Quarterly Monitoring

Incentive: 100% payment for meeting AQL;

Disincentive:

Unfavorable Contractor Performance Assessment Reporting System

(CPARS).

8.3 Data Set - Technical Support

Provide timely and efficient service

90% of technical support questions resolved within 24 hours (or mutually agreed upon time); remaining 10% of technical support calls resolved within 48 hours (or mutually agreed upon time).

Review Call Logs

Customer feedback

Incentive: 100% payment for meeting AQL;

Disincentive:

Unfavorable Contractor Performance Assessment Reporting System

(CPARS).

9. Personnel Management

9.1 Contractor Point of Contact (POC). The Contractor shall identify a point of contact for this contract to interface with the OCC Point of Contact (POC).

8.2 OCC COR. The OCC POC shall be the Contractor's primary day-to-day contact in the performance of this contract.

9. Place of Performance

Any and all OCC employees with access to internet.

10. Government Furnished Equipment and Services

The OCC will not provide any government furnished equipment or service.

11. Section 508 Compliance

The Contractor shall provide and maintain Information Communications Technology (ICT) that meets applicable standards of Section 508 of the Rehabilitation Act of 1973, as amended. This applies to all software user-interfaces, web-based user-interfaces, Video/Multimedia, and documents such as reports, job aids, guides, and plans. Resource for further details on these standards can be found at:

• Section 508 - https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines

• Web Content Accessibility Guidelines (WCAG) -http://www.w3.org/TR/WCAG20/#conformance

Conformance to all 508 standards shall be met unless exception is authorized by the OCC Information Technology Accessibility Program Office.

General Exceptions authorized: None (or listed out when applicable, with scope of exception) Electronic Content delivered under this work statement shall meet the following standards:

• 602 – Support Documentation

• 603 – Support Services

• WCAG 2.0 level A and AA success criteria – applies to all Web-based, software, and

Video/Multimedia deliverables

• Exception authorized: Non-Web documents are not required to meet the following

WCAG 2.0 criteria: 2.4.1 Bypass Blocks, 2.4.5 Multi-ways, 3.2.3 Consistent Navigation, and 3.2.4 Consistent ID https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines http://www.w3.org/TR/WCAG20/#conformance

4.5 Data Set - Technical Support