💹Market Data

NEW

Also known as: Financial Market Data

Price, volume, and order information from financial markets used for trading, analytics, and compliance.

DESCRIPTION

Market data includes quotes, trades, and order book updates across venues, plus corporate actions and reference data for instruments. It is delivered as low-latency streams and historical datasets for analysis and backtesting. Data quality and timeliness are paramount for execution and risk management. Normalization across venues, symbology mapping, and corporate action adjustments are core processes. Entitlements and vendor licensing govern redistribution and use. Streaming infrastructures must handle high throughput and bursty workloads during volatility. Alternative data complements market data for alpha discovery and risk signals.

ALTERNATIVE DEFINITIONS

Wikipedia

Market data is price and trade-related data for a financial instrument reported by a trading venue such as a stock exchange.

Emphasizes exchange-provided prices and trades for instruments.

Source

Nasdaq

Market data comprises real-time and historical information on prices, trades, and orders that powers trading and investment decisions.

Highlights both real-time and historical data powering decisions.

Source

RELATED TERMS

Tick Data Reference Data Corporate Actions Order Book Trade Feed FIX Protocol Temporal Data Backtesting Price Feed

COMPETING TERMS

Alternative Data

RELATIONS

• Broader: Data

KNOWLEDGE AREAS

Data Services Data Management Real-time & Streaming Data Data Science Domain & Business Context

TARGET AUDIENCE

Data Engineer Data Scientist Data Analyst Data Architect BI Specialist

EXTERNAL SOURCES

• Wikipedia - Market data
• FIX Trading Community - FIX standards for market connectivity
• U.S. SEC - Market structure and data policy
• Nasdaq Data Link - API for financial datasets

TOP QUESTIONS

What are the main types of Market Data?

Trades, quotes, and order book updates are core. Corporate actions and reference data contextualize instruments.

Category: Basics

Why is latency crucial in Market Data?

Milliseconds matter for execution quality and risk. Low-latency feeds and co-location reduce delay.

Category: Relevancy

How is Market Data normalized?

Through symbology mapping, field standardization, and corporate action adjustments to ensure comparability across venues.

Category: Process

What are common mistakes with Market Data?

Ignoring entitlements, mishandling splits/dividends, and failing to handle out-of-order or duplicate messages.

Category: Mistakes

How do you store high-volume Market Data?

Use columnar stores and time-series databases with compression, partitioning, and indexing for efficient retrieval.

Category: Infrastructure

What competes with Market Data for signals?

Alternative data such as web, satellite, and transaction feeds can complement or compete for alpha.

Category: Alternatives

How is Market Data quality ensured?

Implement sanity checks, cross-venue reconciliation, and real-time monitoring of gaps and spikes.

Category: Quality

What is the role of FIX in Market Data?

FIX defines messaging for orders and market data, enabling interoperable connectivity across participants.

Category: Standards

How do corporate actions impact Market Data?

They require price and volume adjustments to maintain continuity and avoid misleading analytics.

Category: Application