Sources Sought Synopsis - Market Data Pricing Feed.pdf

Sources Sought Synopsis 9523ZY-23-S-0001

Market Data Services for Global Risk System for the Commodity Futures Trading Commission (CFTC)

This is not a solicitation, but a survey to locate potential sources capable of performing the work described in this notice. The Commodity Futures Trading Commission (“CFTC” or “Commission”) is contemplating the procurement of a market data pricing feed and any necessary services to the CFTC for use within the Commission’s currently deployed Global Risk’s Firm Risk software, as discussed below.

Global Risk’s Firm Risk software was deployed as a Production environment in May of 2016 at the CFTC. The Firm Risk software provides insight into the risk related to futures portfolios of futures commission merchants (FCMs) and other market participants. Positions of market participants are ingested into the Firm Risk software and compared against market pricing to provide a top day view into the current value of the portfolios. To accurately assess the portfolio value against market fluctuations, the Firm Risk software requires market data pricing throughout the business day.

The CFTC’s Firm Risk software uses real-time market data for intraday risk analysis and provides alerts on futures and options positions under the regulatory purview of the CFTC. As market data is sent to the Firm Risk software, the client application updates and displays the valuation, risk, and intraday profit/loss for all firm and client positions that have been loaded.

This allows the CFTC to continuously monitor the systemic risks posed by intermediaries including clearinghouses, clearing firms, futures, commission merchants, and large traders.

The Firm Risk software sends a series of data requests for the required market instruments to the data vendor over a dedicated VPN. The data requests are currently implemented to establish a refresh rate between 2 and 3 minutes during morning, afternoon, and overnight sessions for all required instruments.

CFTC is seeking to identify sources of vendors that are capable of providing the services required to provide this market data on a real time or near real time basis, as noted in Table 1 – Requirements below.

The desired CFTC solution requires contractor support to provide a market data pricing feed composed of the Exchanges in Table 2 below and any necessary services to make this data available to the CFTC for use within the Commission’s Firm Risk software. The contractor shall meet all of the requirements as listed in Table 1 below. The contractor shall provide all associated implementation, documentation, and software maintenance and technical support.

The contractor shall provide technical support during the CFTC’s regular business hours (Monday to Friday, 7:00 am - 6:00 pm Eastern Time (ET)), as part of the contractor’s annual maintenance agreement. The contractor shall ensure that the data feed will maintain compatibility with the Commission’s commercial off-the-shelf software releases, such as Windows and SQL Server.

CFTC is seeking to identify sources of outside assistance and vendor solutions from one or more sources that possess the draft capabilities listed in the table below. Additionally, the solution and associated services shall comply with all Federal Government and Commission’s IT Security policies and other mandates.

Table 1 - Requirements:

ID

No.

Requirement Meets Requirement?

1. Required data elements

• Contract

• Date

• Time

• Settle

• Last

• Bid

• Ask

• Low

• High

• Previous

• Volume

• Open Interest

• Symbol

2. The connection between CFTC and contractor shall be via virtual private network (“VPN”) or internet protocol (“IP”) through an API that is currently designed and implemented for the Firm Risk software.

3. The data refresh rate shall be up to five minute intervals. Faster refresh rates are preferred but this is the minimum requirement.

4. Level 1 market data from the Exchanges in Table 2 are required to be provided through the market data pricing feed.

5. The data is required to be provided for each Exchange in Table 2 for all market sessions including morning, afternoon, and overnight.

(Rest of Page Intentionally Left Blank)

Table 2 - Market data from the following Exchanges is required:

Exchange Initials

Exchange Name Approx. # of

Products

CBT CHICAGO BOARD OF TRADE 221

CME CHICAGO MERCANTILE EXCHANGE 574

COMEX COMMODITY EXCHANGE INC. 89

DME DUBAI MERCANTILE EXCHANGE 3

ERIS ERIS EXCHANGE 10

FEX FEX Global 3 FREX FairX 7 IFAD ICE Futures Abu Dhabi (IFAD) 7

IFED ICE FUTURES ENERGY DIV 1055

IFEU ICE FUTURES EUROPE 1734

IFLL ICE FUTURES EUROPE - FINANCIAL PRODUCTS

DIVISION 112

IFLO ICE FUTURES EUROPE - EQUITY PRODUCTS

DIVISION 982

IFLX ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS

DIVISION 13

IFUS ICE FUTURES U.S. 140

MGE MINNEAPOLIS GRAIN EXCHANGE 4

NDEX ICE ENDEX FUTURES 44

NFX NASDAQ OMX (NFX) 137

NGX ICE NGX 207

NLX NASDAQ NLX 6

NODX NODAL EXCHANGE 580

NYMEX NEW YORK MERCANTILE EXCHANGE 678

SMFE SMALL EXCHANGE, INC. 13

XCBF CBOE FUTURES EXCHANGE 133

Total 6752

Information provided regarding a solution should demonstrate experience relevant to the proposed requirements listed above, and should include:

1. A description of the vendor’s available solution, including the extent to which it meets or exceeds the draft requirements in Table 1 above.

2. A description of any experience providing similar services or solutions to federal government entities.

3. Identifying the extent to which your services and solution are available in full on the

GSA Federal Supply Schedules (FSS) and other Governmentwide Acquisition Contracts

(GWAC), such as NASA SEWP. (CFTC has a strong preference to conduct the subsequent procurement through the GSA FSS or a GWAC if possible.)

4. The approximate cost of the solution for implementation as well as ongoing use over a 5-year period.

CFTC encourages sources that can meet the requirements identified above to respond to this notice. Information furnished should include responses elaborating on the vendor’s solution relevant to each applicable point in the table and a response of “not applicable” for requirements/capabilities that cannot be met by the vendor’s solution.

This synopsis is for information and planning purposes, and responses should be no longer than 20 pages in length. The Government will not pay or otherwise reimburse respondents for information submitted. Based upon responses received, the Government reserves the right to set aside any and all procurements that may result hereunder for small or minority-owned businesses. All responses are due by March 1, 2023 at 1:00 p.m. local (Washington, DC) time, and shall be submitted via email with a Subject Line stating “Response to Sources Sought 9523ZY-23-S-0001 Market Data Services for Global Risk System” to the Contracting Officer, Christine Han at chan@cftc.gov.

mailto:chan@cftc.gov