Market Data

What is market data?

Searching for a market data definition? Market data is the data issued by a trading venue, such as a stock exchange, to inform traders and investors about the latest prices of financial instruments such as shares, derivatives, commodities and currencies.

Market price data is used in real time to make on-the-spot trading decisions – should I buy, or should I sell? But historical market data can also be used effectively to assess trends and calculate market risk on investment portfolios.

Where have you heard about market data?

Market data is a key element of financial news coverage. You may have seen it on news websites such as the BBC or Reuters, who offer up-to-date market data information. And, if you’ve looked at the Financial Times for example, you’ll have noticed the pages of detailed market data at the back of financial newspapers. These days, many smartphone users have apps charting market data by the hour, day, week and year.

What you need to know about market data…

Market data allows you both to see current prices of investment products, and to identify historical trends. Stock market data will generally provide the following information:

• a product's ticker symbol - an arrangement of characters representing a particular security listed on an exchange. Apple, for example is AAPL; Wells Fargo is WFC; and GlaxoSmithKline is GSK
• the latest bid price (the price at which a dealer is prepared to buy securities or other assets)
• the latest ask price (the lowest price a seller of a stock is willing to accept for a share of that stock)
• the time of the last quote and trade, and the price and size of the last sale

Understanding market data in the financial press

If you look at the stock quotes in a financial newspaper, they’ll generally have columns showing the 52-week highs and lows – that is, the highest and lowest prices at which the stock has traded over the past year. This will give you a good idea of how the current price compares to the ups and downs of recent months.

Other information that will feature in a newspaper’s stock quote is the dividend per share (if applicable) and the dividend yield – which is the percentage return on the dividend. There’ll also be a column for the price/earnings ratio (the current stock price divided by earnings per share from the last four quarters). Another column will record the trading volume (the total number of shares traded for the day, in hundreds).

Finally, you’ll see the day high, day low, closing price and net change. When a closing price is up or down more than 5% on the previous day's close, the listing for that stock is rendered in bold to make it easily identifiable.

Market data providers

Bloomberg, Dealogic, ICE Data Services, Markit, Moody’s Analytics, Morningstar, Preqin and Thomson Reuters are some of the more well-known market data providers. Thomson Reuters, for example, offers asset pricing data covering 2.5 million securities. Bloomberg says its Market Data Feed enables global connectivity to be consolidated, normalized market data in real time, with access to 35 million instruments across all asset classes.

The types of data offered vary by provider, but usually cover information about companies and the instruments (shares, bonds etc.) which they issue. Pricing data tends to be sold separately from other related data such as valuation information, company performance and reference data on the entities and instruments themselves.

Market data delivery

Delivery of price data from exchanges to users is extremely time-sensitive, and specialised technologies are used to distribute the information to traders and investors. The speed of market data delivery can be critical in trading systemssuch as high-frequency trading, where computers move in and out of positions in seconds or fractions of a second.

Market data vendors offer a wide range of different delivery frequencies (real-time, delayed or end-of-day) and delivery transportation (delivered by broadcast, satellite, private line, VPN or internet). Data value can be enhanced by adding on services such as listing information, share data, time series and historical data.

Static or reference data is any type of data related to securities that isn’t changing in real-time. Examples of reference data include identifier codes such as ISIN (International Securities Identification Number), the exchange a security trades on, end-of-day pricing, the name and address of the issuing company, the terms of the security (such as dividends, interest rate and maturity on a bond), and any upcoming corporate actions (such as stock splits or proxy votes) related to the security.

While price data usually originates from the exchanges, reference data generally originates from the issuer. But before it’s delivered to investors or traders, it usually passes through the hands of financial data vendors that may reformat it, organise it and try to clear obvious anomalies on a real-time basis.

Level I and Level II market data

Market data is often subdivided into two general types, commonly referred to as Level I and Level II market data. Level II provides more information than Level I. Traders decide which data feed they need for their trading, and then subscribe to that data feed through their broker. Depending on the broker, Level I and Level II can have different costs associated with them.

Level I market data provides all the information needed to trade most chart-based trading systems. Level II, on the other hand, provides more detail – it doesn't just show the highest bid and offer, but it also shows bids and offers at other prices.

Level II is also known as the order book, because it shows the orders that have been placed and are waiting to be filled. Level II is alternatively referred to as market depth, because it shows the number of contracts available at each of the bid and ask prices.

Forex market data

Foreign exchange market data is available through a wide range of sources. The big forex market data providers include Reuters, Bloomberg, the Wall Street Journal and MarketWatch.com. Then there are the financial TV networks such as Bloomberg TV, CNBC and CNN. Another option for real-time market data delivery comes from forex trading platforms. Many forex brokers include live newsfeeds directly in their software to give users easy and immediate access to events and news in the currency markets.

Find out more about market data…

If you want to explore market data delivery further, our comprehensive online glossary has detailed definitions of many related terms such as share, exchange, asset class, bid price and ask price. Take a look at some of them to deepen your understanding of the markets.

The BBC publishes an up-to-date overview of current market data on its website – follow this link to look at the latest numbers.

Reuters also has a Global Market Data page, with all the key indicators across different geographies, sectors and industries.

The London Stock Exchange has an informative guide to understanding Level 2 market data. According to the LSE, Level 2 information ‘plays a vital role in trading on today’s markets’. You can read all about it here.