Quick definition A data feed is a stream of real-time market data from an exchange or data provider. It includes prices, volumes, trades, and other information needed for trading. What it is Data feeds come in different types: - Quote feeds: bid, ask, and volume - Trade feeds: every trade with price and size - Order book feeds: full order book updates (MBO) - Aggregated feeds: consolidated data from multiple venues Why it matters Traders depend on data feeds to make decisions. Fast, accurate data feeds are essential. A trader without access to data feeds is trading blind. Data feed quality affects trading profitability. A slow or inaccurate feed puts traders at a disadvantage. Real-time versus delayed Real-time feeds show current prices. Delayed feeds show prices from 15 minutes ago. Real-time feeds are more expensive but necessary for active trading. Cost Data feed subscriptions are expensive. Professional feeds cost thousands of dollars per month. Basic feeds may be free or low-cost. Practical example A trader subscribes to a real-time NASDAQ data feed. They see: - AAPL bid 150.40, ask 150.41, last trade 150.40 - Updated every few milliseconds A trader on a delayed feed sees: - AAPL bid 150.00, ask 150.01 (from 15 minutes ago) The real-time trader has an advantage. Market data hierarchy Professional traders often subscribe to multiple data feeds: - Direct exchange feeds (ITCH from NASDAQ, TAQ from NYSE) - SIP consolidated feed (official NBBO) - Broker data feeds - Alternative data See also - Market Data - Securities Information Processor (SIP) - ITCH (Interactive Transparent Clearing House) - Market by Order (MBO)
