Market data refers to the vast array of information regarding the trade of securities on various exchanges. This information includes specific identifiers and trading venue details, as well as bid and ask prices, bid/ask sizes, and the time of the last trade. Market data is delivered in real-time, delayed, and reference formats, and can be structured as time series data. It is utilized by a broad range of industry bodies and regulated by several organizations including the SEC, CFTC, and FINRA. Due to its complexity and the high costs associated with its management, market data requires professional handling. It is delivered through technology[1] solutions and infrastructure such as middleware and messaging software, with providers offering various services to manage and distribute this vital information.
In finance, market data is price and other related data for a financial instrument reported by a trading venue such as a stock exchange. Market data allows traders and investors to know the latest price and see historical trends for instruments such as equities, fixed-income products, derivatives, and currencies.
The market data for a particular instrument would include the identifier of the instrument and where it was traded such as the ticker symbol and exchange code plus the latest bid and ask price and the time of the last trade. It may also include other information such as volume traded, bid, and offer sizes and static data about the financial instrument that may have come from a variety of sources. It is used in conjunction with the related financial reference data that is typically distributed ahead of market data. There are a number of financial data vendors that specialize in collecting, cleaning, collating, and distributing market data and this has become the most common way that traders and investors get access to market data.
Delivery of price data from exchanges to users, such as traders, is highly time-sensitive and involves specialized technologies designed to handle collection and throughput of massive data streams are used to distribute the information to traders and investors. The speed that market data is distributed can become critical when trading systems are based on analyzing the data before others are able to, such as in high-frequency trading.
Market price data is not only used in real-time to make on-the-spot decisions about buying or selling, but historical market data can also be used to project pricing trends and to calculate market risk on portfolios of investments that may be held by an individual or an institutional investor.
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