Market data - AbsoluteAstronomy.com

Finance

"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...

, market data is quote

Financial quote

A financial quotation refers to specific market data relating to a security or commodity. While the term quote specifically refers to the bid price or ask price of an instrument, it may be more generically used to relate to the last price which the security traded at...

and trade

Trader (finance)

A trader is someone in finance who buys and sells financial instruments such as stocks, bonds, commodities and derivatives. A broker who simply fills buy or sell orders is not a trader, as they are merely executing instructions given to them. According to the Wall Street Journal in 2004, a managing...

-related data associated with equity

Stock

The capital stock of a business entity represents the original capital paid into or invested in the business by its founders. It serves as a security for the creditors of a business since it cannot be withdrawn to the detriment of the creditors...

, fixed-income

Fixed income

Fixed income refers to any type of investment that is not equity, which obligates the borrower/issuer to make payments on a fixed schedule, even if the number of the payments may be variable....

, financial derivatives, currency

Currency

In economics, currency refers to a generally accepted medium of exchange. These are usually the coins and banknotes of a particular government, which comprise the physical aspects of a nation's money supply...

, and other investment instruments. Market data is numerical price data, reported from trading venues, such as stock exchanges. The price data is attached to a ticker symbol

Ticker symbol

A stock symbol or ticker symbol is a short abbreviation used to uniquely identify publicly traded shares of a particular stock on a particular stock market. A stock symbol may consist of letters, numbers or a combination of both. "Ticker symbol" refers to the symbols that were printed on the ticker...

and additional data about the trade.

The latest price quotes moving in LED ribbons around the walls of trading floors or at the bottom of the screen on financial TV shows are familiar sights. This price data is not only used in real time to make on-the-spot decisions about buying or selling, but historical market data (see graph at right) is also used to project pricing trends and to calculate market risk on portfolios of investments that may be held by an individual or an institutional investor.

A typical equity market data message or business object furnished from NYSE, TSX, or Nasdaq

NASDAQ

The NASDAQ Stock Market, also known as the NASDAQ, is an American stock exchange. "NASDAQ" originally stood for "National Association of Securities Dealers Automated Quotations". It is the second-largest stock exchange by market capitalization in the world, after the New York Stock Exchange. As of...

might appear something like this:

Ticker Symbol	IBM
Bid	89.02
Ask	89.08
Bid size	300
Ask size	1000
Last sale	89.06
Last size	200
Quote time	14:32:45
Trade time	14.32.44
exchange	NYSE
volume	7808

In actuality, the above example is an aggregation of different sources of data, as quote data (bid, ask, bid size, ask size) and trade data (last sale, last size, volume) are often generated over different data feeds.

Delivery of price data from exchanges to users, such as traders, is highly time-sensitive, approaching realtime. Specialized technologies called ticker plants are software (lately combined with field programmable gate array processors), 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. When stored, historical market data is also called time-series data, because it requires a specialized type of database that enables retrieval of a series prices over time for a single instrument.

While market data generally refers to realtime

Real time business intelligence

Real-time business intelligence is the process of delivering information about business operations as they occur.In this context, real-time means a range from milliseconds to a few seconds after the business event has occurred...

or delayed price quotations, the term increasingly includes static or reference data—i.e. any type of data related to securities that is not changing in realtime. In other words, anything other than streaming prices.

Reference data includes identifier codes (e.g. CUSIP

CUSIP

The acronym CUSIP historically refers to the Committee on Uniform Security Identification Procedures, which was founded in 1964, during the paper crunch in Wall Street. This 9-character alphanumeric code identifies any North American security for the purposes of facilitating clearing and settlement...

), the exchange a security trades on, end-of-day pricing, name and address of the issuing company, the terms of the security (such as interest rate and maturity on a bond), and the outstanding corporate actions (such as pending stock splits or proxy votes) related to the security. This type of data can be maintained in a relational database. Databases that maintain the references data for holdings in a portfolio are known as "securities master" files.

While price data generally originates from the exchanges, reference data generally originates from the issuer. However, before it arrives in the hands of investors or traders, it usually passes through the hands of vendors or "aggregators" that may reformat it, organize it and attempt to clear obvious anomalies on a realtime basis. Today, the business of market data aggregation and reselling is changing rapidly, due to advances in communications in financial markets, as well as the technologies available to integrate multiple streams of inbound financial data.

For consumers of market data, which are primarily the financial institutions and industry utilities serving the capital markets realm, the complexity of managing market data has risen with the increasing numbers of issued securities and the globalization of capital markets. Beyond the rising volume of data, the continuing evolution of complex derivatives

Derivative (finance)

A derivative instrument is a contract between two parties that specifies conditions—in particular, dates and the resulting values of the underlying variables—under which payments, or payoffs, are to be made between the parties.Under U.S...

and indices, along with new regulations designed to contain risk and protect markets and investors, all create more operational demands on market data management.

In the not-too-distant past, individual data vendors provided data for software application in financial institutions that were specifically designed for one data feed, thus giving that data vendor a lock on that area of operations. Today, particularly in the larger investment banks and asset management firms, the concept of centralized or enterprise data management is driving investments in large-scale enterprise

Enterprise architecture

An enterprise architecture is a rigorous description of the structure of an enterprise, which comprises enterprise components , the externally visible properties of those components, and the relationships between them...

data management systems which collect, normalize and integrate feeds from multiple data vendors, with the goal of building one "golden copy" of data supporting every kind of operation throughout the institution. Beyond the operational efficiency gained, this data consistency is increasingly necessary to enable compliance with regulatory requirements, such as Sarbanes Oxley, Reg NMS and the Basel 2 accord.

There are various industry bodies that focus on Market Data:

FISD - The Financial Information Services Division of the Software and Information Industry Association
Software and Information Industry Association
The Software & Information Industry Association is a United States based software trade association. The organization lobbies United States policy makers as well as conducting surveys and research and many conferences and webcasts....

. Based in Washington DC FISD operates globally and consists of three constutuency groups. Consumer Firms; Vendor Firms and Exchanges.

IPUG , The Information Providers User Group, is a UK based organisation whose membership is limited to Consumer Firms. Its main activities consist of lobbying Vendor Firms on key issues.

Cossiom , Commission des Services et Systèmes d'Informations destinés aux Opérateurs de Marchés, is the Paris based organisation for French Consumer Firms.

Technology Solutions

The business of providing technology solutions to financial institutions for data management has grown over the past decade, as market data management has emerged from a little-known discipline for specialists to a high-priority issue for the entire capital markets industry and its regulators. Providers range from middleware and messaging vendors, vendors of cleansing and reconciliation software and services, and vendors of highly scalable solutions for managing the massive loads of incoming and stored reference data that must be maintained for daily trading, accounting, settlement, risk management and reporting to investors and regulators.

The market data distribution platforms are designed to transport over the network large amounts of data from financial markets. They are intended to respond to the fast changes on the financial markets, compressing or representing data using specially designed protocols to increase throughput

Throughput

In communication networks, such as Ethernet or packet radio, throughput or network throughput is the average rate of successful message delivery over a communication channel. This data may be delivered over a physical or logical link, or pass through a certain network node...

and/or reduce latency

Latency (engineering)

Latency is a measure of time delay experienced in a system, the precise definition of which depends on the system and the time being measured. Latencies may have different meaning in different contexts.-Packet-switched networks:...

.

Most market data servers run on Solaris or Linux as main targets, however some have versions for Windows.

Feed Handlers

A typical usage can be a "Feed Handler" solution. Applications (Sources) receive data from specific feed and connect to a server (Authority) which accepts connections from clients (Destinations) and redistributes data further. When a client (Destination) wants to subscribe for an instrument (to open an instrument), it sends a request to the server (Authority) and if the server hasn’t got the information in its cache it forwards the request to the Source(s). Each time a server (Authority) receives updates for an instrument, it sends them to all clients (Destinations), subscribed for it.

Notes:

1. A client (Destination) can unsubscribe itself for an individual instrument (close the instrument) and no further updates will be sent. When the connection between Authority and Destination breaks off, all requests made from the client will be dropped.

2. A server (Authority) can handle large client-connections, though usually a relatively small amount of clients are connect to the same server at the same time.

3. A client (Destination) usually has a small amount of open instruments, though larger numbers are also supported.

4. The server has two levels of access permission:

- Logon permission – whether the client is allowed to connect to the server.

- Information permission – whether the client is allowed to view information about the current instrument. (This check is usually made by checking the contents of the instrument.).

Market data management

Market data is expensive (global expenditure yearly exceeds $ 30 billion) and complex (data variety, functionality, technology, billing). Therefore it needs to be managed professionally. Professional market data management deals with issues such as:

Inventory management
Contract management
Cost management
Change management
Invoice Reconciliation & Administration
Permissioning
Reporting
Budgeting
Demand management
Technology management
Vendor management

Mobile Applications

With the growing use of mobile phones as a means of accessing market information, companies have begun producing mobile applications that provide market data in real time to financial institutions and consumers. Such providers include Bloomberg, CarryQuote, and Delta Stream.

External links

The source of this article is wikipedia, the free encyclopedia. The text of this article is licensed under the GFDL.

Technology Solutions

Feed Handlers

Market data management

Mobile Applications

See also

External links