Market data is price and trade-related data reported by stock exchange. It allows investors and traders to access the latest price and estimate financial trades.
In this post I will briefly explain what is Market Data, its concepts, and types. Further, in the next post, I will show you how you could start consuming data from the Brazilian’s Stock Market B3. I will also talk about its challenges and how market data broadcast works nowadays on traditional Stock Markets.
Part I: What is Market Data?
Part II: B3 Stock Market (Coming Soon)
In general, market data is all kind of trade-related data, such as prices, quotations, and historical data.
Since the very beginning of stock markets in the 17th Century, the broadcast of data evolved a great deal. Data frequency, quantity, and propagation speed increased some order of magnitude. How data was spread passed through journal, blackboard, telegraph and even word of mouth until it reached digital ways.
Stock exchange NASDAQ (February 8th, 1971) was the world’s first electronic stock market, making possible for investors to observe trades and orders as soon as they were executed. Digital stock market gives the ability to perform high-frequency trades. At the turn of the 21st century, high-frequency trade had an execution time of several seconds, whereas at by 2010 this time had decreased to milliseconds or even microseconds.
Market data, in stock market, is the broadcast of financial instrument data. It allows investors to visualize from the latest price (real-time) to historical trends, of specific instruments.
This data contains prices, orders, books (price and order books), statistical data, historical data and informations of the instruments. At B3 specifically, the orders and trades contain buyers and sellers’ identifications – it’s not common in most stocks, but it could be used to predict market behavior.
Market data can be divided into two great groups: Real-time and Historical Data. The amount of data traffic is large: in less than one second, it can exceed a hundred thousands of trades.
Due to the challenge of handling this large amount of data, stock markets usually provide only data in a broadcast way (real-time). If historical data was needed, you’d have to contact them and it would probably cost you time and money.
Talking about B3 specifically, if you miss any real-time data during a broadcast, you can recover missed data via specific recovery channels. B3 allows you to recover data only from the beginning of the current market week, and this recovery process is way slower than the real-time broadcast; in practice, it should be used only in emergency needed.
Given the difficulty of this historical data, companies tend to storage all real-time data collected to sell it later. It’s really worth the challenge since historical data can be sold to data analyzers for a huge price.
In the next article, I’ll explain more about B3 Stock Market, so stay tuned!
About the author
Matheus Mignoni is a Software Engineer at Poatek.