Market Data Feeds: The Complete Guide for Trading Firms
What separates a direct exchange feed from the SIP, Level 2 from Level 3, raw from normalized data — and how licensing and the new EU consolidated tape change what trading firms pay and see.
Market Data
Direct feeds versus SIP, tick data, Level 2 and Level 3 order book data, normalisation, licensing and the economics of market data.
Market Data: an overview
Every trading decision begins with market data. Which feed you use, how fast it arrives and how cleanly it is normalised determine what your models can see.
We explain feed types and their latency, the research value of tick and order-by-order data, and how to evaluate data quality and cost.
Latest Market Data research
Browse all research Key concepts
- Direct feed
- Market data delivered by an exchange itself, faster than consolidated feeds.
- SIP
- The US securities information processor that consolidates quotes and trades from all exchanges.
- Level 3 data
- Order-by-order (market by order) data showing every individual resting order.
Research roadmap
What we cover in Market Data
Our editorial plan for this section. Published guides are linked; the rest are in research.
- Live Market Data Feeds: The Complete Guide for Trading Firms
- Soon Tick Data for Trading and Research: A Complete Guide
- Soon Where to Get Historical Tick Data (and What to Check)
- Soon Level 2 vs Level 3 Market Data: What HFT Really Needs
- Soon Working With Limit Order Book Data
- Soon Market Data Normalization Across Venues
- Soon Market Data Costs and Licensing Explained
- Soon Forex Tick Data in a Fragmented OTC Market
- Soon Collecting and Using Crypto Order Book Data