Justification and Approval - MIDAS 2023-2.pdf

J&A No. 2023-2

Justification and Approval For Other Than Full and Open Competition

Upon the basis of the following justification as required by FAR 6.303-1(a), I hereby approve the issuance of the contractual action discussed below using other than full and open competition, pursuant to the authority cited herein.

1. Agency and Contracting Activity:

U.S. Securities and Exchange Commission 100 F Street, NE Washington, DC 20549

2. Nature and description of action being approved.

The U.S. Securities & Exchange Commission (SEC or Commission) intends to issue a contract with MayStreet Inc., 135 W 26th St Fl 2, New York, NY 10001 on a sole source basis.

Description of the supplies or services required to meet the needs of the SEC and the estimated value:

The Commission has a requirement for a Market Information Data Analytics System (MIDAS) to collect U.S. equities, options, futures, fixed income, cryptocurrency and other market data related information in near real-time and provide this data in a highly performant, fully supported data science platform. MIDAS must be able to obtain the required historic market data, with the required time stamp and granularity functionality to the microsecond. Historic market data retention and an existing feed handler pipeline infrastructure are essential elements of the requirement as they impact the ability to analyze the market in real-time. Without these capabilities, there would be a critical mission impact to the SEC as staff would be unable to accurately assess the markets and meet the SEC’s mission of protecting and regulating the markets.

MIDAS must meet scalability performance requirements and service level agreements by utilizing cloud-computing services that meet federal government security standards. The requirement has six parts: Market Data, Data Science Tools, Market Data Analytical Tools, Compute/Storage Platform, Program Management Support, and Cloud Connectivity.

The required data has stringent objectives that allow staff to view the markets at the same capability of the most sophisticated market participants. Billions of market data messages are received daily from over two dozen regulated exchanges and non-regulated market venues in the current system. Each message is time stamped with highly precise, synchronized and traceable services; this provides every market data message with at least two time stamps, that which is provided by the exchange/venue as well as that which is provided by the Contractor when the message is received by their feed handlers. This data is checked for quality, normalized, stored and made available to users via high-performant APIs and market data tools.

Historic data dates as far back as 2008 for exchanges that include NYSE and Nasdaq and the equity SIPs.

The data science platform maintains high availability applications that support various computer programming languages including Linux, Python, R and C++. The data described above is available in this platform and the APIs integrate within the applications. Version control and dashboard visualization applications are also maintained, and provide electronic user manuals, end user support, training and project management.

The period of performance is for a base year and four option years. The estimated dollar value is REDACTED.

3. Statutory authority for other than full and open competition.

The statutory authority permitting other than full and open competition is 41 U.S.C. 3304(a)(1) and FAR 6.302-1, “Only One Responsible Source and No Other Supplies or Services Will Satisfy Agency Requirements.”

4. Demonstration that the proposed contractor's unique qualifications or nature of the acquisition requires use of the authority cited.

MayStreet is uniquely qualified to provide these services to the SEC’s Office of Information Technology/Division of Trading and Markets based upon the following:

MayStreet is the only known source identified that is capable of fulfilling SEC’s requirement of providing a market data analytical system that contains granular functionality, and the required present and historic U.S. market data, which has been time stamped by a consistent feed handler. Precise and granular time stamping of market data messages from a consistent and traceable source enables SEC staff to accurately reconstruct order books for a specific time period, view and analyze complete order books of individual equities, monitor and understand mini-flash crashes, and reconstruct market events. MayStreet provides timestamping of U.S.

market data at microsecond granularity with a clock synchronized to National Institute of Standards and Technology clocks with a clock drift requirement not to exceed 50 microseconds.

This data pipeline is used to collect data from the exchanges/venues in real time and is made available for users with a 15-minute delay. The entire data set is made available in a MayStreet operated, highly performant data science platform.

5. Efforts to ensure that offers are solicited from as many potential sources as possible.

A Request for Information (RFI) was submitted to SEC’s OneIT Indefinite Delivery Indefinite Quantity contract holders on October 21, 2021 to see if this enterprise contract could be leveraged for MIDAS. Four (4) vendors responded and while some provided limited data science development capabilities, they neither showed a holistic understanding of the financial markets, nor evidenced historic data feeds from active US exchanges.

Consequently, a RFI was posted to Federal Business Opportunities (FBO) on December 14, 2021 in an effort to solicit from as many potential sources as practicable. Eleven vendors provided responses to the RFI questions and provided capability statements. On March 21, 2022, a special notice of SEC’s intent to sole source was posted to SAM.gov. The special notice indicated that responsible sources may submit a capability statement, proposal, or quotation, which shall be considered by the agency. No capability statements, proposals, or quotes were received in response to the special notice. No other companies have been identified that have existing time stamped historic and future direct feeds, and SIP feed messages.

Furthermore, a copy of this Justification and Approval will be posted via the Government-Wide Point of Entry, www.sam.gov.

6. Determination by the Contracting Officer that the anticipated cost to the Government will be fair and reasonable.

The Contracting Officer by signature on this document hereby determines that the cost to the Government will be fair and reasonable. The proposed methods to determine pricing fair and reasonable may include, but are not limited to, the following:

a. Proposal Analysis Techniques in accordance with FAR 15.404-1(b)

b. Request other than cost and pricing data by requiring that the data submitted by the offeror include, at a minimum, appropriate data on the prices at which the same item or similar items have previously been sold.

7. Description of market research conducted and results or statement of the reasons market research was not conducted.

The SEC issued two rounds of Request for Information, first to the SEC’s OneIT Indefinite Delivery Indefinite Quantity contract holders on October 21, 2021 and a second RFI on December 14, 2021 to the general public via Contract Opportunities on SAM.gov. On March 21, 2022, a special notice of SEC’s intent to sole source was posted to SAM.gov requesting interested parties to respond. No viable responses were received.

While some of the vendors described capabilities of possessing data science platform management and managing large data sets that emulate the size and velocity of market data, no firm met the historic market data retention requirement nor operated an existing feed handler pipeline infrastructure. Although vendors did express the intent that they could potentially develop these requirements, none demonstrated that they are able to obtain the required historic market data, with the required time stamp and granularity functionality. No vendors other than MayStreet were able to meet these requirements.

8. Other supporting facts.

None

9. A listing of the sources, if any, that expressed in writing an interest in the acquisition in writing.

Accenture Federal Ardent Aretec KCI-Aquity

ATA LLC

Cherilink LLC Databricks, Inc.

FactSet Kinetica Lotus Analytics LLC Ocient Inc.

Palantir Tech Inc.

RV Global Solutions, Inc.

SRR International Uncharted Software Inc.

10. A statement of the actions, if any, the SEC may take to remove or overcome any barriers to competition before any subsequent acquisition for the supplies or services required.

The Government will continue to search the marketplace for a comparable solution. If the Government should determine that such a solution exists with all the required functionality, it will seek full and open competition for future requirements.