''For market data as used in marketing, see
marketing information system A marketing information system (MIS) is a management information system (MIS) designed to support marketing decision making. Jobber (2007) defines it as a "system in which marketing data is formally gathered, stored, analysed and distributed to mana ...
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of f ...
, market data is price and other related data for a
Financial instruments are monetary contracts between parties. They can be created, traded, modified and settled. They can be cash (currency), evidence of an ownership interest in an entity or a contractual right to receive or deliver in the form ...
reported by a
An exchange, bourse (), trading exchange or trading venue is an organized market where (especially) tradable securities, commodities, foreign exchange, futures, and options contracts are bought and sold.
12th century: Brokers on ...
such as a
A stock exchange, securities exchange, or bourse is an exchange where stockbrokers and traders can buy and sell securities, such as shares of stock, bonds and other financial instruments. Stock exchanges may also provide facilities for t ...
. Market data allows traders and investors to know the latest price and see historical trends for instruments such as
In finance, stock (also capital stock) consists of all the shares by which ownership of a corporation or company is divided.Longman Business English Dictionary: "stock - ''especially AmE'' one of the shares into which ownership of a company ...
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 pr ...
, and currencies
The market data for a particular instrument would include the identifier of the instrument and where it was traded such as the
A ticker symbol or stock symbol is an abbreviation used to uniquely identify publicly traded shares of a particular stock on a particular stock market. In short, ticker symbols are arrangements of symbols or characters (generally Latin letters ...
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
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 (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.
A typical equity market data message or business object furnished from
The New York Stock Exchange (NYSE, nicknamed "The Big Board") is an American stock exchange in the Financial District of Lower Manhattan in New York City. It is by far the world's largest stock exchange by market capitalization of its liste ...
The Toronto Stock Exchange (TSX; french: Bourse de Toronto) is a stock exchange located in Toronto, Ontario, Canada. It is the 10th largest exchange in the world and the third largest in North America based on market capitalization. Based in the ...
The Nasdaq Stock Market () (National Association of Securities Dealers Automated Quotations Stock Market) is an American stock exchange based in New York City. It is the most active stock trading venue in the US by volume, and ranked second ...
might appear something like this:
The above example is an aggregation of different sources of data, as quote
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
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Ex ...
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 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 (, modern Arabic: Ishan al-Bahriyat) is an archaeological site in Al-Qādisiyyah Governorate, Iraq. Excavations have shown that it was an important city-state in the past.
History of archaeological research
Ishan al-Bahriyat was visited ...
codes, the exchange a
security" \n\n\nsecurity.txt is a proposed standard for websites' security information that is meant to allow security researchers to easily report security vulnerabilities. The standard prescribes a text file called \"security.txt\" in the well known locat ...
trades on, end-of-day pricing, name and address of the issuing company, the terms of the security (such as
A dividend is a distribution of profits by a corporation to its shareholders. When a corporation earns a profit or surplus, it is able to pay a portion of the profit as a dividend to shareholders. Any amount not distributed is taken to be re-i ...
An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, t ...
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
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 institutions, sometimes called banking institutions, are business entities that provide services as intermediaries for different types of financial monetary transactions. Broadly speaking, there are three major types of financial inst ...
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
A capital market is a financial market in which long-term debt (over a year) or equity-backed securities are bought and sold, in contrast to a money market where short-term debt is bought and sold. Capital markets channel the wealth of savers ...
s. Beyond the rising volume of data, the continuing evolution of complex derivatives
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 (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
Regulation NMS Regulation National Market System (or Reg NMS) is a US financial regulation promulgated and described by the United States Securities and Exchange Commission (SEC) as "a series of initiatives designed to modernize and strengthen the National Market ...
, and the Basel 2
There are various industry bodies that focus on Market Data:
*FISD - Based in Washington DC, the
Financial Information Services Division
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fin ...
(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 n ...
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.
- 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.
- 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.
The Financial Industry Regulatory Authority (FINRA) is a private American corporation that acts as a self-regulatory organization (SRO) that regulates member brokerage firms and exchange markets. FINRA is the successor to the National Associati ...
- FINRA (
Financial Industry Regulatory Authority
The Financial Industry Regulatory Authority (FINRA) is a private American corporation that acts as a self-regulatory organization (SRO) that regulates member brokerage firms and exchange markets. FINRA is the successor to the National Associat ...
) is a non-government, self-regulatory organization that regulates member brokerage firms and exchange markets.
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
Network throughput (or just throughput, when in context) refers to the rate of message delivery over a communication channel, such as Ethernet or packet radio, in a communication network. The data that these messages contain may be delivered ove ...
and/or reduce latency
. Most market data servers run on Solaris
Linux ( or ) is a family of open-source Unix-like operating systems based on the Linux kernel, an operating system kernel first released on September 17, 1991, by Linus Torvalds. Linux is typically packaged as a Linux distribution, whi ...
as main targets. However, some have versions for Windows.
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.
# 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
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.
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
* Demand management
* Technology management
* Vendor management
Financial data vendor
s typically also offer mobile applications that provide market data in real time to financial institutions and consumers.
Stock market data systems Stock market data systems communicate market data—information about securities and stock trades—from stock exchanges to stockbrokers and stock traders.
The earliest stock exchanges were in France in the 12th century and in Bru ...
* Reference data (financial markets)
* Financial data vendor