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In
finance Finance is a term for the management, creation, and study of money In a 1786 James Gillray caricature, the plentiful money bags handed to King George III are contrasted with the beggar whose legs and arms were amputated, in the left corn ...

finance
, market data is price and other related data for a
financial instrument Financial instruments are monetary contracts A contract is a legally binding document between at least two parties that defines and governs the rights and duties of the parties to an agreement. A contract is legally enforceable because it me ...
reported by a
trading venue An exchange, bourse (), trading exchange or trading venue is an organized market (economics), market where (especially) tradable security (finance), securities, commodity, commodities, foreign exchange market, foreign exchange, futures contract, ...
such as a
stock exchange A stock exchange, securities exchange, or bourse is an exchange Exchange may refer to: Places United States * Exchange, Indiana Exchange is an Unincorporated area, unincorporated community in Green Township, Morgan County, Indiana, Green To ...
. Market data allows traders and investors to know the latest price and see historical trends for instruments such as
equities In finance, stock (also capital stock) consists of all of the shares In financial markets A financial market is a market in which people trade financial securities and derivatives at low transaction costs. Some of the securities i ...

equities
,
fixed-income Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest at a fixed rate once a year and repay the princ ...
products,
derivatives Derivative may refer to: In mathematics and economics *Brzozowski derivative in the theory of formal languages *Derivative in calculus, a quantity indicating how a function changes when the values of its inputs change. *Formal derivative, an opera ...
, and
currencies A currency, "in circulation", from la, Wikt:currens, currens, -entis, literally meaning "running" or "traversing" in the most specific sense is money in any form when in use or currency in circulation, circulation as a medium of exchange, esp ...
. The market data for a particular instrument would include the identifier of the instrument and where it was traded such as the
ticker symbol A ticker symbol or stock symbol is an abbreviation An abbreviation (from Latin Latin (, or , ) is a classical language belonging to the Italic branch of the Indo-European languages. Latin was originally spoken in the area around Rome ...
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. There are a number of
financial data vendor A financial data vendor provides market data to financial firms, traders, and investors. The data distributed is collected from sources such as stock exchange feeds, brokers and dealer desks or regulatory filings (e.g. an SEC filing). History Fin ...
s 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 High-frequency trading (HFT) is a type of algorithmic financial trading characterized by high speeds, high turnover rates, and high order-to-trade ratios that leverages high-frequency financial data and electronic trading tools. While there is no ...
. 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.


Data structure

A typical equity market data message or business object furnished from
NYSE The New York Stock Exchange (NYSE, nicknamed "The Big Board") is an American stock exchange in the Financial District, Manhattan, Financial District of Lower Manhattan in New York City. It is by far the List of stock exchanges, world's largest s ...

NYSE
,
TSX The Toronto Stock Exchange (TSX; french: Bourse de Toronto) is a stock exchange A stock exchange, securities exchange, or bourse is an exchange Exchange may refer to: Places United States * Exchange, Indiana Exchange is an Unincorporated ...
, or
NASDAQ The Nasdaq Stock Market () is an American stock exchange A stock exchange, securities exchange, or bourse is an exchange Exchange may refer to: Places United States * Exchange, Indiana Exchange is an Unincorporated area, unincorpora ...
might appear something like this: The above example is an aggregation of different sources of data, as
quote Quote is a hypernym In linguistics Linguistics is the science, scientific study of language. It encompasses the analysis of every aspect of language, as well as the methods for studying and modeling them. The traditional areas of lin ...
data (bid, ask, bid size, ask size) and trade data (last sale, last size, volume) are often generated over different data feeds.


Delivery of data

Delivery of price data from exchanges to users is highly time-sensitive. Specialized software and hardware systems called ''ticker plants'' are designed to handle collection and throughput of massive data streams, displaying prices for traders and feeding computerized trading systems fast enough to capture opportunities before markets change. When stored, historical market data is a type of
time series In mathematics Mathematics (from Greek: ) includes the study of such topics as numbers ( and ), formulas and related structures (), shapes and spaces in which they are contained (), and quantities and their changes ( and ). There is no gen ...

time series
data. Latency is the time lag in delivery of real-time data, i.e. the lower the latency, the faster the data transmission speed. Processing of large amounts of data with minimal delay is low latency. The delivery of data has increased in speed dramatically since 2010, with "low" latency delivery meaning delivery under 1 millisecond. The competition for low latency data has intensified with the rise of algorithmic and high frequency trading and the need for competitive trade performance. Market data generally refers to either
real-time Real-time or real time describes various operations in computing or other processes that must guarantee response times within a specified time (deadline), usually a relatively short time. A real-time process is generally one that happens in defined ...
or delayed price quotations. The term also includes static or reference data, that is, any type of data related to securities that is not changing in real-time. Reference data includes identifier codes such as
ISIN Isin (, modern Arabic Arabic (, ' or , ' or ) is a Semitic language The Semitic languages are a branch of the Afroasiatic language family originating in the Middle East The Middle East is a list of transcontinental countrie ...
codes, the exchange a
security Security is freedom from, or resilience against, potential Potential generally refers to a currently unrealized ability. The term is used in a wide variety of fields, from physics Physics is the natural science that studies matter, its El ...
trades on, end-of-day pricing, name and address of the issuing company, the terms of the security (such as
dividend A dividend is a distribution of profit Profit may refer to: Business and law * Profit (accounting), the difference between the purchase price and the costs of bringing to market * Profit (economics), normal profit and economic profit * Profit ...

dividend
s or
interest rate An interest rate is the amount of interest In and , interest is payment from a or deposit-taking financial institution to a or depositor of an amount above repayment of the (that is, the amount borrowed), at a particular rate. It is disti ...
and maturity on a bond), and the outstanding corporate actions (such as pending stock splits or proxy votes) related to the security. While price data generally originates from the exchanges, reference data generally originates from the issuer. Before investors and traders receive price or updated reference data,
financial data vendor A financial data vendor provides market data to financial firms, traders, and investors. The data distributed is collected from sources such as stock exchange feeds, brokers and dealer desks or regulatory filings (e.g. an SEC filing). History Fin ...
s may reformat, organize, and attempt to correct obvious outliers due to data feed or other real-time collection based errors. For consumers of market data, which are primarily the
financial institution Financial institutions, otherwise known as banking institutions, are corporation A corporation is an organization—usually a group of people or a company—authorized by the State (polity), state to act as a single entity (a legal entit ...
s and industry utilities serving the capital markets, the complexity of managing market data rose with the increase in the number of issued securities, number of exchanges and the globalization of
capital market A capital market is a financial market A financial market is a market Market may refer to: *Market (economics) *Market economy *Marketplace, a physical marketplace or public market Geography *Märket, an island shared by Finland and Swed ...
s. Beyond the rising volume of data, the continuing evolution of complex
derivatives Derivative may refer to: In mathematics and economics *Brzozowski derivative in the theory of formal languages *Derivative in calculus, a quantity indicating how a function changes when the values of its inputs change. *Formal derivative, an opera ...
and indices, along with new regulations designed to contain risk and protect markets and investors, created more operational demands on market data management. Initially, individual financial data vendors provided data for software applications in financial institutions that were specifically designed for one data feed; thus, giving that financial data vendor control of that area of operations. Next, many of the larger investment banks and asset management firms started to design systems that would integrate market data into one central store. This drove investments in large-scale
enterprise Enterprise (or the archaic spelling Enterprize) may refer to: Business and economics Brands and enterprises * Enterprise GP Holdings, an energy holding company * Enterprise plc, a UK civil engineering and maintenance company * Enterprise ...
data management systems which collect, normalize and integrate feeds from multiple financial data vendors, with the goal of building a "single version of the truth" of data repository supporting every kind of operation throughout the institution. Beyond the operational efficiency gained, this data consistency became increasingly necessary to enable compliance with regulatory requirements, such as
Sarbanes Oxley Sarbanes may refer to: *Paul Sarbanes Paul Spyros Sarbanes (; February 3, 1933 – December 6, 2020) was an American politician and attorney. A member of the Democratic PartyDemocratic Party most often refers to: *Democratic Party (United ...
,
Regulation NMS Regulation National Market System (or Reg NMS) is a US financial regulation Financial regulation is a form of regulation Regulation is the management of complex systems A complex system is a system composed of many components which may int ...
, and the
Basel 2 Basel II is the second of the Basel Accords, (now extended and partially superseded by Basel III), which are recommendations on banking laws and regulations issued by the Basel Committee on Banking Supervision. The Basel II Accord was published i ...
accord.


Industry bodies

There are various industry bodies that focus on Market Data: *FISD - Based in Washington DC, the
Financial Information Services Division Finance is a term for the management, creation, and study of money and investments. Pamela Drake and Frank Fabozzi (2009)What Is Finance?/ref> Specifically, it deals with the questions of how an individual, company or government acquires money ...
(FISD) of the
Software and Information Industry Association The Software and Information Industry Association (SIIA) is a trade association dedicated to the entertainment, consumer and business software industries. Established in 1984 as the Software Publishers Association (SPA), the SIIA took its new na ...
operates globally and consists of three constituency groups: Consumer Firms, Vendor Firms and Exchanges. *IPUG - The Information Providers User Group (IPUG) is a UK-based organization whose membership is limited to consumer firms. Its main activities consist of lobbying vendor firms on key issues. *COSSIOM - Commission des Services et Systèmes d'Informations destinés aux Opérateurs de Marchés (COSSIOM) is the Paris-based organization for French consumer firms. *BlueFedFin Ixc - Launched via Digta Channels in 2014 , The Sovereign Body is Federal and a FIN Creator from New Age. Reserves, Remote FIN Line, Wire Service & Potent Wealth Advisory to our Group Members. BlueFedFin is headed as a One Person Execution Complex. Lead by Fonder CEO & Chairman & Principal Data Scientist, Karanvir Singh (India). Investor & Business Dealings are catered Online & on a Binary Scale of Operations with Cloud, AI & FIN BI. * SEC - The Securities and Exchange Commission (SEC) is an independent government agency whose role is to protect investors and oversee securities markets. The SEC helps regulate data management, transparency, and auditing of trading patterns in the market. For example, a recent regulatory action taken by the SEC is the adoption of Rule 613, also known as the Consolidated Audit Trail. * CFTC - The U.S. Commodity Futures Trading Commission oversees the markets and their participants, monitors liquidity and systematic risk, regulates compliance, and enforces the CEA. The CFTC uses data sourced from market data providers to perform its functions and publish reports on the health of the derivatives market including the Commitment of Traders report, Cotton on Call and the Weekly Swaps Report. *
FINRA The Financial Industry Regulatory Authority (FINRA) is a private American corporation that acts as a self-regulatory organization A self-regulatory organization (SRO) is an organization that exercises some degree of regulatory authority over an ...
- FINRA (
Financial Industry Regulatory Authority The Financial Industry Regulatory Authority (FINRA) is a private American corporation that acts as a self-regulatory organization A self-regulatory organization (SRO) is an organization that exercises some degree of regulatory authority over an ...
) is a non-government, self-regulatory organization that regulates member brokerage firms and exchange markets.


Technology solutions

The business of providing technology solutions to financial institutions for data management has grown over the past decade, as market data management has emerged from a little-known discipline for specialists to a high-priority issue for the entire capital markets industry and its regulators. Providers range from middleware and messaging vendors, vendors of cleansing and reconciliation software and services, and vendors of highly scalable solutions for managing the massive loads of incoming and stored reference data that must be maintained for daily trading, accounting, settlement, risk management and reporting to investors and regulators. The market data distribution platforms are designed to transport over the network large amounts of data from financial markets. They are intended to respond to the fast changes on the financial markets, compressing or representing data using specially designed protocols to increase
throughput In general terms, throughput is the rate of production or the rate at which something is processed. When used in the context of communication networks, such as Ethernet Ethernet () is a family of wired ing technologies commonly used in s ...
and/or reduce
latency Latency or latent may refer to: Science and technology * Latent heat, energy released or absorbed, by a body or a thermodynamic system, during a constant-temperature process * Latent variable, a variable that is not directly observed but inferred i ...
. Most market data servers run on Solaris or
Linux Linux ( or ) is a family of open-source Open source is source code that is made freely available for possible modification and redistribution. Products include permission to use the source code, design documents, or content of the product ...

Linux
as main targets. However, some have versions for Windows.


Feed handlers

A typical usage can be a "feed handler" solution. Applications (Sources) receive data from specific feed and connect to a server (Authority) which accepts connections from clients (Destinations) and redistributes data further. When a client (Destination) wants to subscribe for an instrument (to open an instrument), it sends a request to the server (Authority) and if the server has not got the information in its cache it forwards the request to the Source(s). Each time a server (Authority) receives updates for an instrument, it sends them to all clients (Destinations), subscribed for it. Notes: # A client (Destination) can unsubscribe itself for an individual instrument (close the instrument) and no further updates will be sent. When the connection between Authority and Destination breaks off, all requests made from the client will be dropped. # A server (Authority) can handle large client-connections, though usually a relatively small number of clients are connected to the same server at the same time. # A client (Destination) usually has a small number of open instruments, though larger numbers are also supported. # The server has two levels of access permission: * Login permission – whether the client is allowed to connect to the server. * Information permission – whether the client is allowed to view information about the current instrument. This check is usually made by checking the contents of the instrument.


Types of Market Data Vendors

1. Exchanges 2. Hosting providers 3. Ticker plant providers 4. Feed providers 5. Software providers


Market Data Needs

Market data requirements depend on the need for customization, latency sensitivity, and market depth. Customization: How much operational control a firm has over its market data infrastructure. Latency sensitivity: The measure of how important high-speed market data is to a trading strategy. Market depth: the volume of quotes in a market data feed.


Market Data Fees

There are 5 market data fee types charged by exchanges and financial data vendors. These fees are access fees, user fees, non-display fees, redistribution fees, and market data provider fees.


Management

Market data is expensive (global expenditure yearly exceeds $50 billion) and complex (data variety, functionality, technology, billing). Therefore, it needs to be managed professionally. Professional market data management deals with issues such as: * Inventory management * Contract management * Cost management * Change management * Invoice Reconciliation & Administration * Permissioning * Reporting * Budgeting * Demand management * Technology management * Vendor management


Mobile applications

Financial data vendor A financial data vendor provides market data to financial firms, traders, and investors. The data distributed is collected from sources such as stock exchange feeds, brokers and dealer desks or regulatory filings (e.g. an SEC filing). History Fin ...
s typically also offer mobile applications that provide market data in real time to financial institutions and consumers.


See also

*
Stock market data systems Stock market data systems communicate market data In finance Finance is the study of financial institutions, financial markets and how they operate within the financial system. It is concerned with the creation and management of money and in ...
* Reference data (financial markets) *
Financial data vendor A financial data vendor provides market data to financial firms, traders, and investors. The data distributed is collected from sources such as stock exchange feeds, brokers and dealer desks or regulatory filings (e.g. an SEC filing). History Fin ...


References

{{DEFAULTSORT:Market Data Financial markets