Market Data is a broad term used to refer to the financial information necessary for carrying out research, analysing, trading and accounting for financial instruments of all asset classes on world markets.
In finance, market data is price and trade-related data for a financial instrument reported by a trading venue such as a stock exchange.
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.
The market data for a particular instrument would include the identifier of the instrument and where it was traded such as the ticker symbol and exchange code plus the latest bid and ask price and the time of the last trade or LTP. It also includes other information such as Volume Traded, OHLC and Order sizes and Open Interest (OI) about the financial instrument that may have come from a variety of sources.
Market Data Streams
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 systems such as high-frequency trading, where computers move in and out of positions in seconds or fractions of a second.
As a broker, you can stream market data directly from the exchange, or via an external data vendor. Depending on the type of data you subscribe to, this data can travel to your broker server over dedicated peer-to-peer leased lines, over the internet, or over localized networks inside an exchange colocation environment.
Once this data hits your backend server, it is ready to be processed into order books, optimized and further broadcasted to your OMS/EMS and end-clients : customers using mobile apps, web browser apps, desktop based trading terminals, or your internal employees using dealer trading terminals and risk management systems.
uTrade provides API driven technology for managing the complete lifecycle – from exchange gateway to end-user trading terminals. Our UDP packet structures are extremely optimized, and consume upto 30-50% lesser transmission bandwidth than most competitors, thus ensuring a better experience for all your users. uTrade offers a wide range of different delivery frequencies like real-time data or delayed data.
Real Time Snapshot Data (Level 1, 2, 3)
This data feed is provided in TCP-IP format.
It is provided on-line through a dedicated 2-10 mbps channelized E1 private leased line circuits, which is managed by the broker from the stock exchange data center to their own hosting premises. Let’s discuss these real time data individually in detail:
Level I Real Time Data
Level 1 data includes only the Real Time Data of the first level in the order book.
Level 1 market data carries many data points, including but not limited to
- Bid price: The highest price that a trader has offered and is willing to buy the asset at.
- Best Bid size: The number of shares, lots or contracts that are available at the bid price.
- Ask price: The lowest price that a trader has offered and is willing to sell the asset at.
- Best Ask size: The number of shares, lots or contracts that are available at the ask price.
- Last Traded Price: The price of the most recent trade.
- Traded Quantity: The number of shares, lots or contracts traded in the most recent trade.
Level 1 market data provides all of the information needed to trade using most trading systems.
Level II Real Time Data
- Level 2 market data shows the trader a bigger picture of the market order flow.
- It shows the orders that are currently pending for the market.
- It shows the number of shares or lots that are available at each bid and ask prices.
- The data of noncompetitive orders is important to institutional investors who plan to buy or sell large blocks of shares.
Level III Real Time Data
- Level 3 provides market depth data up to 20 best bids and ask prices.
- Everything else in Level 3, is the same as Level 2.
- uTrade provides customizable unlimited levels of market data as per broker requirement (5,10,20,40…n).
Real Time Tick By Tick Data:
- This feed consists of each and every order or a change in the order. It includes:-
- A new order accepted & added to the order book
- Any order canceled, or any order modified and added to the order book. It contains the new and old image (i.e. price and quantity) of the order.
- It also shows if any order is fully or partially executed.
This feed sends a huge amount of data. It is the most granular, high frequency, high resolution data stream, which typically gives access to complete exchange order books in real-time.
And this much data is not easy to handle!!
uTrade provides high cost, high performance hardware infrastructure hosted in an exchange colocation environment, to be efficiently utilized within nanoseconds or microseconds of its delivery to the broker server.
Which is typically used by HFT algo traders / firms with highly latency sensitive trading strategies for arbitrage, quant based execution or market making.
Delayed Snapshot data:
Delayed market data is the data on a time lag which can be taken for all products via online streaming from exchanges at regular intervals (1min, 3min, 5min, 15min, etc.)
With uTrade you can subscribe to Delayed market data for specific products/instruments/indices.
Benefits of using uTrade Market Data Broadcast technology:
- uTrade allows competitive edge to your clients by exposing deeper depths of market data that can uncover useful insights on the prevailing demand and supply spreads. Active clients with larger orders may also predict more accurate execution prices when they get access to multi-level data.
- The solution connects with all major stock exchanges, works across all asset classes and can be plugged into any frontend/backend trading systems. It is vendor technology and geography agnostic.
- This solution also works with major communication protocols including TCP, UDP and Web Sockets.
- uTrade can also provide consolidated market data from multiple exchanges on a single setup, for various use-cases including automated smart-order routing, price analytics, etc.
- Scalable solution that allows deployment of multiple MDH and CDH instances in parallel to handle very large load requirements.
- uTrade provides high-level customization which allows the user to filter out and consume exactly the data points needed from the exchange data feeds, and also use them to build own custom data points / functions / calculations.
- Immediate and automated failover technology can be implemented in the unexpected event of primary broker server breakdown, for near zero down-time.
- uTrade can also help you build a DR setup, so your market data services are uninterrupted in case of any unforeseen circumstances.
- Consumes at least 50%* lesser network bandwidth when compared to major competitors owing to proprietary data compression and segregation mechanisms. Smart UDP subscription manager transmits data across the system for a cartesian union of the list of symbols subscribed by all client terminals (instead of broadcasting all data received from exchange as-is) cumulatively to further optimize data transmission. This allows our solution to offer one of the fastest data transfer rates in the industry.
- Chart Data Handler offers access to complete historical data and live chart updates with the lowest refresh/back-tracking times. Chart data handler also accommodates for any Corporate Action, Series change handling, etc as announced by the exchange from time to time.
- Linux based solution (built over C++ and Postgres), requires no third party licenses.
- Single deployment through configurational changes can be done to serve different sets of users logging in from Desktop, web, mobile platforms.
- Horizontal & vertical scaling is easily achieved to serve millions* of concurrent users.
- Bandwidth optimization achieved by building the solution from ground up helped reduce the consumption of bandwidth not only at the user end but also at the Broker’s end.
Hosting Your Setup and Storing the Data for Charting, Analytics and Backtesting
- uTrade MDB? setup can be hosted in exchange colocation (for level 3 or TBT Data), private data center, or cloud, as per business & compliance requirements
- If you need historical data for setting up multi-year charts and analytics, it can be bought from stock exchanges or external data vendors in compatible data formats that can be plugged into the uTrade Market Data technology setup.
- uTrade gives you efficient technology modules to store huge amount of data (billions of market data points for thousands of listed instruments across a historical period) using open-source databases like Postgre SQL – thus reducing any added operational / licensing cost, and also providing one of the fastest backtracking speeds to construct charts or run backtesting.
uTrade is a leading trading technology provider, and also offers highly scalable, customizable Market Data broadcast technology solutions. These products can be tailored to your company’s use-case on request. Request a call to discover how uTrade can help achieve your most ambitious trading technology requirements.