/market-data

name: market-data
description: "Design and manage market data infrastructure — real-time and delayed feeds, Level 1/2/3 depth, consolidated tape vs direct feeds, vendor selection, licensing, and distribution architecture. Use when choosing between real-time and delayed data, evaluating market data vendors like Bloomberg or Refinitiv, designing ticker plants or fan-out architecture, managing exchange data licensing and entitlements, diagnosing stale quotes or missing ticks, deciding between SIP and direct exchange feeds, or assessing Level 2/3 depth-of-book requirements for trading. Trigger on: market data, Level 1/2/3, depth of book, consolidated tape, SIP, direct feed, NBBO, ticker plant, B-PIPE, data license, non-display use, market data entitlements, conflation, tick data, real-time feed."

Market Data

Core Concepts

1. Market Data Types

• **Trade data:** Last sale price, quantity, timestamp, condition codes (regular, odd lot,

opening/closing), cumulative volume, VWAP.

• **Quote data:** NBBO (best bid/offer across all exchanges), bid/ask sizes. Quote updates

vastly outnumber trade updates in liquid instruments.

• **Depth of book:** Multiple price levels beyond the NBBO with resting order quantities.

Aggregated depth (size per level) or order-by-order (individual orders visible).

• **Index data:** Real-time index values, composition, weightings, total return values.

Sources include exchange-calculated (S&P 500 via Cboe) and third-party (MSCI, FTSE Russell).

• **Fixed income pricing:** Dealer quotes, evaluated pricing (ICE, Bloomberg BVAL), TRACE

trade reports for corporates, EMMA for municipals. Inherently less standardized than equities.

• **Options data:** Chains (strikes/expirations), Greeks, implied volatility, volume, open

interest. OPRA provides the consolidated options feed.

• **Fundamental data:** Earnings, financial statements, corporate actions, analyst estimates.

Sourced from vendors (Bloomberg, FactSet, S&P Capital IQ) rather than exchange feeds.

• **News and events:** Headlines, economic calendar (FOMC, employment), corporate events

(earnings dates, ex-dates), sentiment scores.

2. Data Levels

**Level 1 — Top of Book:** NBBO, last sale, volume, daily OHLC. Sufficient for portfolio management, client reporting, and order entry. Lowest cost and bandwidth.

**Level 2 — Market Depth:** Multiple price levels with aggregate size (top 5-20 levels per side). Reveals liquidity beyond the NBBO. Essential for active trading, market impact assessment, and algorithmic execution (TWAP, VWAP). Higher cost and bandwidth.

**Level 3 — Full Order Book:** Individual order detail (price, size, order ID) enabling complete book reconstruction and order lifecycle tracking. Provided by direct feeds (Nasdaq ITCH, NYSE Arca). Required for market making, HFT, and queue position modeling. Highest cost — hundreds of thousands of messages per second per exchange.

| Use Case | Level | Rationale | |---|---|---| | Portfolio management / reporting | Level 1 | NBBO and last sale sufficient for valuation | | Active equity trading desk | Level 2 | Traders assess depth before large orders | | Algorithmic execution | Level 2 | Algorithms adapt pace based on available liquidity | | Market making / HFT | Level 3 | Requires queue position and order flow modeling | | Client-facing app (delayed) | Level 1 (delayed) | Display only, 15-minute delay acceptable |

3. Consolidated Tape vs Direct Feeds

**Securities Information Processors (SIPs):** CTA/CQS for NYSE-listed (Tape A/B), UTP for Nasdaq-listed (Tape C), OPRA for options. SIPs collect data from all exchanges, compute the NBBO, and disseminate a consolidated stream. Under Reg NMS, the SIP NBBO is the regulatory benchmark for best execution.

**Direct exchange feeds:** Proprietary feeds from individual exchanges (NYSE Arca, Nasdaq TotalView/ITCH, Cboe PITCH, IEX DEEP) delivering order-by-order data with lower latency than the SIP. A firm must subscribe to multiple feeds and compute NBBO internally. Each exchange uses different protocols requiring per-exchange parsers.

| Dimension | SIP (Consolidated) | Direct Feeds | |---|---|---| | Latency | Higher (~10-50 microseconds SIP processing) | Lower (bypasses SIP) | | NBBO | Provided directly | Must compute from multiple feeds | | Data depth | Level 1 (NBBO + last sale) | Level 2/3 (full depth, order-by-order) | | Cost | Lower, predictable | Higher, scales with exchange count | | Normalization | Pre-normalized | Requires per-exchange parsers | | Typical consumer | Buy-side, advisory, retail | Prop trading, market making, HFT |

4. Market Data Vendors

Cost figures throughout this skill reflect 2024-2025 list pricing; verify current pricing with vendors before budgeting.

**Bloomberg:** Terminal ($20K-$25K/user/year), B-PIPE (enterprise real-time feed), Data License (bulk EOD/reference data), BEAP (cloud API).

**Refinitiv (LSEG):** Eikon (desktop, lower cost than Bloomberg, strong FX/FI), Elektron/ LSEG Real-Time (enterprise feed), DataScope (bulk EOD), Tick History (historical ticks).

**ICE Data Services:** Consolidated feeds, evaluated fixed income pricing (widely used for NAV and regulatory reporting), ICE Benchmark Administration.

**FactSet:** Research-oriented, flexible API delivery, competitive pricing for smaller buy-side, strong Excel/portfolio management integration.

**S&P Capital IQ / Market Intelligence:** Comprehensive fundamentals, credit ratings, company filings. **Morningstar:** Fund/ETF data, ratings, Morningstar Direct for research.

**Free/open sources:** Exchange websites and financial portals provide delayed (15-min) quotes. Useful for non-time-sensitive display but limited reliability and coverage.

**Vendor selection criteria:** Asset class coverage, latency, reliability/uptime SLA, API quality, total licensing cost (including exchange fees), historical data depth, support, data quality handling.

5. Market Data Licensing and Entitlements

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