Market data

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.

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.

[1] 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.

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.

Next, many of the larger investment banks and asset management firms started to design systems that would integrate market data into one central store.

Beyond the operational efficiency gained, this data consistency became increasingly necessary to enable compliance with regulatory requirements, such as Sarbanes Oxley, Regulation NMS, and the Basel 2 accord.

They are intended to respond to the fast changes on the financial markets, compressing or representing data using specially designed protocols to increase throughput and/or reduce latency.

Each time a server (authority) receives updates for an instrument, it sends them to all clients (destinations), subscribed for it.

Latency sensitivity: The measure of how important high-speed market data is to a trading strategy.