Work_Category_1_-_final.doc

Sample “Call” for Work Category 1

SECTION I – STATEMENT OF WORK

Work Category 1 CAPITAL MARKETS AND FINANCIAL INDUSTRIES DATA ANALYSIS SUPPORT – Task 1

C. STATEMENT OF WORK

C.1 Background The Division of Economic and Risk Analysis (DERA) was created in September 2009 to integrate financial economics, and rigorous data analytics into the core mission of the U.S. Securities and Exchange Commission (SEC). The Division is involved across the entire range of SEC activities, including policy-making, rule-making, enforcement, and examinations. As the agency’s “think tank,” DERA relies on a variety of academic disciplines, quantitative and non-quantitative approaches, and knowledge of market institutions and practices to enable the Commission to approach complex matters using innovative and risk based methods. DERA also assists in the Commission’s efforts to identify, analyze, and respond to risks and trends, including those associated with new financial products and strategies. Through the range and nature of its activities, DERA serves the critical function of promoting collaborative efforts throughout the agency.

Within Economic and Risk Analysis, the Office of Quantitative Research (OQR) is responsible for providing analytical research and development, quantitative model development, user support for analytical models, and data management and administration to support these analytical projects. In support of DERA’s analytical functions, OQR has recently taken on responsibilities to create a new analytical development environment and manage database functions to support DERA’s analysis projects.

Currently, DERA receives on a daily basis, four Trade and Quote (TAQ) datasets purchased from NYSE Technologies. These datasets provide approximately 70 GB of new data per day which will be loaded into an Oracle database in the OQR analytical development environment. This data supports a variety of DERA analyses.

DERA economists and subject matter experts (SMEs) monitor and evaluate trading activities carried out across a broad spectrum of markets and support litigation activities. Reports used to assess activities include those that describe volume, market share, snap-shots of trade prices per minute to the millisecond, high and low prices, average bid-ask spreads, average bid depth, average effective spreads, average relative effective spreads, average realized spreads, average price impact, average percentage price impact, average trade imbalance, percentage number of trades inside quotes, percentage number of trades outside quotes, average price improvement, total national best bid and offer depth, total national bid offer depth, cumulative bid depth, cumulative ask depth, depth improvement, time at national best bid offer by market, volume routed to national best bid and depth offer.

Multiple offices within DERA utilize daily equity trade and quote data covering the Commodity Trading Advisor (CTA) participating markets, NYSE, Nasdaq (OTC), and all regions. On a daily basis, DERA receives a TAQ dataset that includes the Daily Trades File, Daily Quotes File, Daily TAQ master file, and the Daily NBBO file. DERA users regularly need to access historical information provided from this dataset. Some files include data from 2002 and others date from 2003.

The OQR utilizes multiple datasets from FINRA that are used in analytical models that support rulemaking, examinations and enforcement functions. These datasets include broker dealer (BD) registration information from BD firms, Investment Advisor (IA) firms, and branches and individuals associated with a broker dealer or investment adviser firm that is under the jurisdiction of the SEC. Specifically, OQR accesses information from the following datasets:

· Form BD which is the Uniform Application for Broker-Dealer Registration. Broker-Dealers must file this form to register with the Securities and Exchange Commission, the self-regulatory organizations, and jurisdictions through the Central Registration Depository (“CRD”) system, operated by FINRA. By law, the applicant must promptly update Form BD information by submitting amendments whenever the information on file becomes inaccurate or incomplete for any reason.

· Investment adviser registration (ADV filings), exempt reporting adviser filing, regulatory review, and the public disclosure information of investment adviser firms from FINRA’s IARD system.

· Reporting of over the counter secondary market transactions in eligible fixed income securities known as TRACE datasets. All broker/dealers who are FINRA member firms have an obligation to report transactions in corporate bonds under an SEC approved set of rules. Trade Reporting and Compliance Engine (TRACE) is the FINRA developed vehicle that facilitates this mandatory reporting.

· BD firms are required to compose and submit Financial and Operational Combined Uniform Single (FOCUS) Reports pursuant to SEC Rule 17a-5. OQR receives FOCUS datasets from FINRA and in the case of the futures industry and the options trading firms OQR receives from CBOE and CHX separate but similar datasets. These filings result in three separate loads to support the OQR analyses.

C.2 Objectives

The primary objective of this Task Order is to obtain from capital market and financial industry experts deep understanding and expert knowledge about the data covered in the scope of this work.

The Contractor shall provide assessments and reports about the data based on experience and understanding of how the data is reported, collected, stored, and maintained. These reports will advise economists and analysts in determining the quality and suitability of the data to support a variety of analyses, weaknesses and limitations of the data, recommendations on methods or treatments for the data that may improve the quality of the data for specific purposes, including identifying alternative data sources.

The Contractor shall also provide quality assurance reviews to support the OQR database administrators (DBAs) in the regular maintenance of the data. This support shall include identifying data integrity issues.

C.3 Scope The Contractor shall provide particular expertise and experience in equity Trading and Quotes (TAQ) data to support OQR Subject Matter Experts (SMEs), OQR Data Base Administrators (DBAs), and other staff in the DERA quantitative environment to ensure regular maintenance and updates of the Trade and Quote (TAQ) datasets/databases occur with the highest integrity and data quality and improve the quality of analyses within OQR. The Contractor shall provide input to OQR, in developing standard documentation, and recommend adjustments to datasets or dataset processes as appropriate.

The Contractor shall provide particular expertise and experience in FINRA data to support OQR SMEs, OQR DBAs and other staff in the DERA quantitative environment to ensure regular maintenance and updates of the FINRA Datamart datasets/databases occur with the highest integrity and data quality and improve the quality of analyses within OQR. The Contractor shall provide input to OQR, in developing standard documentation, and recommend adjustments to datasets or dataset processes as appropriate.

C.3 Task 1 – Program Management

The contractor shall provide an integrated project schedule to manage all work identified by this task order. At a minimum, the plan shall include the work breakdown structure, project contract milestones, and contract deliverables. The contractor shall reassess the schedule following the completion of each task and may adjust the dates with COR approval.

C.4 Task 2 – TAQ Data Analysis C.4.1 Task 2 Project Plan The Contractor shall submit a detailed work breakdown structure for managing the work to accomplish the objectives of this project. The project plan shall include the Project Management plan, Communication plan and Quality Assurance plan for this project. The contractor shall provide a project plan narrative that describes the project, technical approach, milestones, and deliverables. The project plan shall also include a project schedule for all work associated with this task. (For Deliverable, see D.2 and D.3) C.4.2 Task 2 Monthly Reports The Contractor shall prepare a monthly status report describing, at a minimum, the burn rate, the current status and progress, work accomplished during the report period, work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution. (For Deliverable, see D.5) C.4.3 Task 2 Interim Reports. The Contractor shall prepare and deliver to the COR a status report or a presentation describing, at a minimum the current status and progress, work accomplished during the report period, work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution. This report may be in the form of a presentation, particularly regarding analytical methods. (For Deliverable, see D.4) C.4.4 Task 2 Meeting Minutes. The Contractor shall prepare and deliver to the COR Meeting Minutes from all meetings with the OQR SME related to this task order. The Contractor shall work with the COR to resolve issues and shall resubmit the revised Meeting Minutes. (For Deliverable, see D.6) C.4.5 Task 2 Data Analysis Support for TAQ Daily and Historical Datasets The contractor shall work with DERA/OQR SMEs and OQR DBAs to quickly develop a thorough understanding of DERA's TAQ data sets, and the technical applications and operational requirements relying on these databases. The Contractor shall identify data integrity issues, assist with obtaining datasets, and ensuring these are complete.

The Contractor shall provide daily routine TAQ data analysis including but not limited to:

· data cleansing to identify erroneous data,

· ensuring data integrity,

· identifying and resolving corruption in the database,

· identifying and resolving anomalies and problems in data,

· identifying and resolving duplicate records for removal, and

· identifying and resolving anomalies or problems in materialized views and backup and recovery operations.

(For Deliverable, see D.7) C.4.6 Task 2 Recommendation Packages

Periodically as requested by the COR, the Contractor shall provide recommendations that will yield correct data suitable for the purpose required to support DERA analyses. The Contractor shall provide recommendations for using recommended data/datasets in testing analytical solutions. The Contractor shall also provide data/dataset quality assessments and assess the availability, quality, and use of TAQ data/datasets to support the analytical logic developed for quantitative models, database queries, and analytical reports. The Contractor shall provide as requested, advice regarding TAQ data standards for OQR. Periodically as requested, the Contractor shall assess congruence of TAQ data and integration feasibility with other data sets. OQR estimates that a number of basic requests will occur daily which can be answered with little or no research; OQR estimates that up to ten requests per year will require some additional research which can be completed in two weeks to one month to address the questions. One or two longer term projects may also be requested. (For Deliverable, see D.8) C.4.7 Task 2 Data Analysis Reports The Contractor shall work with OQR’s DBA, and DERA SMEs to provide descriptions and assessments of TAQ data and sources outlining the purpose and quality, descriptions of variables included, common uses, as well as weaknesses or limitations of the various data elements and sources to support documentation and technical documents. The Contractor shall define relationships between TAQ data fields, to assist database developers and database architects in developing blueprints for designs which will be approved and implemented by the Database Administrators (DBAs). The Contractor shall provide clear definitions relationships between TAQ data within TAQ datasets. The data element definition quality shall be sufficient to support database developers and database architects in developing blueprints for efficient database designs which will be approved and implemented by the DERA Database Administrators (DBAs). (For Deliverable, see D.9) C.5 Task 3 FINRA Data Analysis

C.5.1 Task 3 Project Plan The Contractor shall submit a detailed work breakdown structure for managing the work to accomplish the objectives of this project. The project plan shall include the Project Management plan, Communication plan and Quality Assurance plan for this project. The contractor shall provide a project plan narrative that describes the project, technical approach, milestones, and deliverables. The project plan shall also include a project schedule for all work associated with this task. (For Deliverable, see D.10 and D.11) C.5.2 Task 3 Monthly Reports The Contractor shall prepare a monthly status report describing, at a minimum, the burn rate, the current status and progress, work accomplished during the report period, work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution. (For Deliverable, see D.13) C.5.3 Task 3 Interim Reports. The Contractor shall prepare and deliver to the COR a status report or a presentation describing, at a minimum the current status and progress, work accomplished during the report period, work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution. This report may be in the form of a presentation, particularly regarding analytical methods. (For Deliverable, see D.12) C.5.4 Task 3 Meeting Minutes. The Contractor shall prepare and deliver to the COR Meeting Minutes from all meetings with the OQR SME related to this task order. The Contractor shall work with the COR to resolve issues and shall resubmit the revised Meeting Minutes. (For Deliverable, see D.14) C.5.5 Task 3 Data Analysis Support for FINRA Datamart Datasets

The contractor shall work with DERA/OQR SMEs and OQR DBAs to quickly develop a thorough understanding of DERA's FINRA Datamart data sets, and the technical applications and operational requirements relying on these databases. The Contractor shall identify data integrity issues, assist with obtaining datasets, and ensuring these are complete.

The Contractor shall provide daily routine FINRA data analysis including but not limited to:

· data cleansing to identify erroneous data,

· ensuring data integrity,

· identifying and resolving corruption in the database,

· identifying and resolving anomalies and problems in data,

· identifying and resolving duplicate records for removal, and

· identifying and resolving anomalies or problems in materialized views and backup and recovery operations.

(For Deliverable, see D.15) C.5.6 Task 3 Recommendation Packages

Periodically as requested by the COR, the Contractor shall provide recommendations that will yield correct data suitable for the purpose required to support DERA analyses. The Contractor shall provide recommendations for using recommended data/datasets in testing analytical solutions. The Contractor shall also provide data/dataset quality assessments and assess the availability, quality, and use of FINRA Datamart data/datasets to support the analytical logic developed for quantitative models, database queries, and analytical reports. The Contractor shall provide as requested, advice regarding FINRA Datamart data standards for OQR. Periodically as requested, the Contractor shall assess congruence of FINRA Datamart data and integration feasibility with other data sets. OQR estimates that a number of basic requests will occur daily which can be answered with little or no research; OQR estimates that up to ten requests per year will require some additional research which can be completed in two weeks to one month to address the questions. One or two longer term projects may also be requested. (For Deliverable, see D.16) C.5.7 Task 3 Data Analysis Reports The Contractor shall work with OQR’s DBA, and DERA SMEs to provide descriptions and assessments of FINRA Datamart data and sources outlining the purpose and quality, descriptions of variables included, common uses, as well as weaknesses or limitations of the various data elements and sources to support documentation and technical documents. The Contractor shall define relationships between FINRA Datamart data fields, to assist database developers and database architects in developing blueprints for designs which will be approved and implemented by the Database Administrators (DBAs). The Contractor shall provide clear definitions relationships between FINRA Datamart data within FINRA Datamart datasets. The data element definition quality shall be sufficient to support database developers and database architects in developing blueprints for efficient database designs which will be approved and implemented by the OQR Database Administrators (DBAs). (For Deliverable, see D.17)

D. DELIVERABLES

The contractor shall prepare deliverables specific to the Tasks as shown in the tables below. All deliverables shall be formatted by the contractor and prepared using Microsoft Office Suite applications. The following deliverables shall be submitted electronically to the COR:

D.1 Task 1 Master Project Plan

The contractor shall provide an integrated project schedule to manage all work identified by this task order. At a minimum, the plan shall include the work breakdown structure, project contract milestones, and contract deliverables. The contractor shall reassess the schedule following the completion of each task and may adjust the dates with COR approval.

D.2 Task 2 Draft Project Plan

The contractor shall provide a project plan narrative that describes the project’s technical approach, and includes sections on project management, communication management, and quality assurance management. The project plan will also include a project schedule for all work associated with this IDIQ task order. The contractor shall submit a detailed work breakdown structure for managing the effort to accomplish the objectives of this project. The Project plan narrative, Communication Plan and Quality Assurance Plan shall be in Microsoft compatible format.

The contractor shall reassess the schedule following the completion of each task, and may adjust dates and timeframes with written COR approval.

D.3 Task 2 Final Project Plan

The contractor shall provide a project plan narrative that describes the project’s technical approach, and includes sections on project management, communication management, and quality assurance management. The project plan will also include a project schedule for all work associated with this IDIQ task order. The contractor shall submit a detailed work breakdown structure for managing the effort to accomplish the objectives of this project. The Project plan narrative, Communication Plan and Quality Assurance Plan shall be in Microsoft compatible format.

The contractor shall reassess the schedule following the completion of each task, and may adjust dates and timeframes with written COR approval.

D.4 Task 2 Interim Report or Presentation

As identified in the work plan, status report and/or presentation to the DERA functional lead and Contracting Officer’s Representative (COR), describing, at a minimum, the current status and progress, analytical work accomplished during the report period, analytical work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution.

D.5 Task 2 Monthly Report

A monthly status report to the Contracting Officer’s Representative (COR), describing, at a minimum, current status and progress, work accomplished during the report period, work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution.

The monthly report shall include the burn rate, project cost, schedule and risk. It should include a detailed summary of the estimated monthly hours, actual hours and planned hours for the next reporting cycle. The report shall be submitted with each monthly invoice to monitor cost, schedule, and performance.

D.6 Task 2 Meeting Minutes

The Contractor shall prepare in Microsoft compatible format and deliver to the COR meeting minutes from all meetings related to this task order with the DERA designated functional lead. The Contractor shall work with the COR to resolve the issues and shall resubmit the revised Meeting Minutes to the COR.

D.7 Task 2 Data Analysis Support for TAQ Daily and Historical Datasets The Contractor shall provide in Microsoft compatible format, recommended methods and treatment that will yield correct data suitable TAQ data analyses, recommendations for testing analytical solutions using recommended data/datasets. The Contractor shall also provide data/dataset quality assessments and assess the availability, quality, and use of TAQ data/datasets to support the analytical logic developed for quantitative models, database queries, and analytical reports.

D.8 Task 2 Recommendation Packages

The Contractor shall provide recommendations as requested by the COR. These recommendations will be provided in Microsoft compatible formats.

D.9 Task 2 Data Analysis Reports

The Contractor shall provide in Microsoft compatible formats, descriptions and assessments of TAQ data and sources outlining the purpose and quality, descriptions of variables included, common uses, as well as weaknesses or limitations of the various data elements and sources to support documentation and technical documents. The Contractor shall define relationships between TAQ data fields, to assist database developers and database architects in developing blueprints for designs which will be approved and implemented by the Database Administrators (DBAs). The Contractor shall provide clear definitions relationships between TAQ data within TAQ datasets. The data element definition quality shall be sufficient to support database developers and database architects in developing blueprints for efficient database designs which will be approved and implemented by the OQR Database Administrators (DBAs).

D. 10 Task 3 Draft Project Plan

The contractor shall provide a project plan narrative that describes the project’s technical approach, and includes sections on project management, communication management, and quality assurance management. The project plan will also include a project schedule for all work associated with this IDIQ task order. The contractor shall submit a detailed work breakdown structure for managing the effort to accomplish the objectives of this project. The Project plan narrative, Communication Plan and Quality Assurance Plan shall be in Microsoft compatible format.

The contractor shall reassess the schedule following the completion of each task, and may adjust dates and timeframes with written COR approval.

D.11 Task 3 Final Project Plan

The contractor shall provide a project plan narrative that describes the project’s technical approach, and includes sections on project management, communication management, and quality assurance management. The project plan will also include a project schedule for all work associated with this IDIQ task order. The contractor shall submit a detailed work breakdown structure for managing the effort to accomplish the objectives of this project. The Project plan narrative, Communication Plan and Quality Assurance Plan shall be in Microsoft compatible format.

The contractor shall reassess the schedule following the completion of each task, and may adjust dates and timeframes with written COR approval.

D.12 Task 3 Interim Report or Presentation

As identified in the work plan, status report and/or presentation to the OQR SME and Contracting Officer’s Representative (COR), describing, at a minimum, the current status and progress, analytical work accomplished during the report period, analytical work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution.

D.13 Task 3 Monthly Report

A monthly status report to the Contracting Officer’s Representative (COR), describing, at a minimum, current status and progress, work accomplished during the report period, work to be accomplished during the next report period, and identifying any issues or concerns requiring resolution.

The monthly report shall include the burn rate, project cost, schedule and risk. It should include a detailed summary of the estimated monthly hours, actual hours and planned hours for the next reporting cycle. The report shall be submitted with each monthly invoice to monitor cost, schedule, and performance.

D.14 Task 3 Meeting Minutes

The Contractor shall prepare in Microsoft compatible format and deliver to the COR meeting minutes from all meetings related to this task order with the DERA designated functional lead. The Contractor shall work with the COR to resolve the issues and shall resubmit the revised Meeting Minutes to the COR.

D.15 Task 3 Data Analysis Support for FINRA Datamart Datasets

The Contractor shall provide in Microsoft compatible format, recommended methods and treatment that will yield correct data suitable FINRA data analyses, recommendations for testing analytical solutions using recommended data/datasets. The Contractor shall also provide data/dataset quality assessments and assess the availability, quality, and use of FINRA data/datasets to support the analytical logic developed for quantitative models, database queries, and analytical reports.

D.16 Task 3 Recommendation Packages

The Contractor shall provide recommendations as requested by the COR. These recommendations will be provided in Microsoft compatible formats.

D. 17 Task 3 Data Analysis Reports

The Contractor shall provide in Microsoft compatible formats, descriptions and assessments of the OQR FINRA Datamart data and sources outlining the purpose and quality, descriptions of variables included, common uses, as well as weaknesses or limitations of the various data elements and sources to support documentation and technical documents. The Contractor shall define relationships between OQR’s FINRA Datamart data fields, to assist database developers and database architects in developing blueprints for designs which will be approved and implemented by the Database Administrators (DBAs). The Contractor shall provide clear definitions relationships between FINRA data within FINRA datasets. The data element definition quality shall be sufficient to support database developers and database architects in developing blueprints for efficient database designs which will be approved and implemented by the OQR Database Administrators (DBAs).

See paragraph D.6

E. PERIOD OF PERFORMANCE

F. PLACE OF PERFORMANCE

The work will primarily be performed at the following address:

Securities and Exchange Commission (Headquarters)

Division of Economic and Risk Analysis?

100 F Street, NE

Washington, DC 20549

G. TYPE OF ORDER

This is a Time and Materials task order.

H. TRAVEL

It is anticipated that long distance travel will be on a not-to-exceed basis.

Local travel will not be reimbursed. However, in the event travel is required, all travel shall be in accordance with Federal Travel Regulations (FTR) and approved in advance by the COTR. Additionally, costs for transportation, lodging, meals, and incidental expenses must be coordinated and approved in advance by the COR. Submit cost breakdown electronically to the COR. (1) Costs incurred by contractor personnel on official company business are allowable, subject to the limitation contained in FAR Part 31.205-46. Government per diem rates can be found on the website at www.gsa.gov. The ability to perform unscheduled travel is contingent upon Government approval and will only be used to address travel needs as they occur.

H.1 Local Travel

The local travel area for SEC duty assignments in the Washington, DC metropolitan area has been established as follows: The District of Columbia; the cities of Alexandria, Fairfax, Falls Church in Virginia; Arlington and Fairfax Counties in Virginia; and Montgomery, Charles, and Prince George’s Counties in Maryland.

I. Other Direct Costs

It is anticipated that other direct costs may be included for incidental expenses.

J. GOVERNMENT FURNISHED INFORMATION/PROPERTY

The government will provide office space, and/or access to necessary telecommunications and computer equipment for the support services work that is to be performed on-site. The Contractor will not have a due diligence event to evaluate the government furnished property or information prior to award. The government will make meeting rooms available when required.

K. DRESS CODE

Business attire is required when contractor personnel are on-site.