Attachment_1_-_Requirements_List.pdf

Attachment 1 – Requirements List

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The U.S. Securities and Exchange Commission (SEC) requires a data source (subscription) for digital asset market data to support its efforts to monitor risk, improve compliance, and inform Commission policy with respect to digital assets. This subscription includes but is not limited to the below requirements.

1) Market Data Sources

Exchange Data:

a) The subscription shall include complete digital asset coverage for all active, global digital asset exchanges for which data is available.

b) Nice to Have: The subscription shall include digital asset coverage of available data on inactive exchanges, as well as defunct digital assets on active and inactive exchanges, in a historic data feed (see section 4).

c) The subscription shall include market data from exchanges with anonymous transactions. This includes non-custodial exchanges and exchanges without complete Know Your Customer (KYC) processes.

d) The subscription shall support adding new digital assets and digital asset exchanges, as these launch in the marketplace.

Additional Market Data:

e) The subscription shall include digital asset market data for all available Over-The-Counter (OTC) transactions.

f) The subscription shall include digital asset market data derived from all available on-chain sources.

Supporting Data:

g) Nice to Have: Provide data from supplemental sources such as news feeds to provide insights and intelligence on market data supplied.

2) Data Elements

a) Provide market data per source (e.g., individual exchange) vs. aggregated per digital asset. This applies to centralized and non-custodial exchange data, as well as to all other included sources.

b) The following data elements are required for each source and digital asset pair, as available:

i) Data source (e.g., exchange name);

ii) Digital asset name;

iii) Symbol;

iv) Date of market information;

v) Daily high price (USD);

vi) Daily low price (USD);

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vii) Daily open price (USD);

viii) Daily close price (USD);

ix) Intraday pricing (USD) at minimum in 15 minute intervals or greater frequency, as available;

x) Volume Weighted Average Price (VWAP) at close;

xi) Currency-pair pricing to other digital assets, as available;

xii) Circulating supply volume (Open, Close, Daily Low, Daily High, 24h, 7d, 30d); and

xiii) Market capitalization (historic high, low, and real-time).

c) Provide overview data for each digital asset, including elements such as incept date, blockchain, and interpretative data for significant asset events (e.g. hard fork in blockchain).

d) Nice to have: Provide data on margin, short selling volume, lending rates, and derivatives of covered digital assets.

e) Nice to Have: Provide relevant order book data such as quantities, prices, and timestamps.

f) Nice to Have: Provide data captured from various sources such as news feeds to support market data analysis.

3) Data Normalization and Quality

a) Provide means to demonstrate all provided data is accurate and complete. Ensure no data is removed from the raw data set and that there are no data gaps, other than pre-defined intervals.

b) Provide data in standardized fashion across disparate data sources to facilitate data viewing and consumption.

c) Demonstrate level of rigor of data cleansing and normalization meets requirements of financial statement audit testing, including processing and verifying data in a controlled, secure environment.

d) Provide access to non-standardized data for in-depth analysis.

e) Source all market data directly from data sources, such as exchanges.

f) Provide clear definitions and rigorous methodologies for calculating all derived metrics.

g) Demonstrate process to detect data issues such as gaps and to flag for review and resolution.

h) Provide clear audit trail for all data updates to support data consumption and issue resolution.

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4) Historical Data Provisioning

a) Include market data for a minimum of five years, or since the inception of the digital asset or data source (e.g., exchange), for all included data sources and digital assets.

b) Provide all daily market data fields (section 2) in historical data feed.

c) Nice to have: Provide data for defunct digital assets and sources (e.g., exchanges), which were active in preceding five years.

5) Data Provisioning and Frequency

a) Data shall be provided to the Commission using a secure, encrypted data feed (push).

b) One of following transmission protocols must be used: SFTP or IBM ConnectDirect. For SFTP, authentication can be via public or private key.

c) Data feed must provide all historic information in a one-time data transfer and following that, provide updates on a daily basis.

d) Provide enterprise data license: Data must be enabled for full enterprise use, including data access and data-sharing.

e) Nice to have: Provide an additional API transmission option.