You can, most likely, work with market data without knowing much about the data itself. You can capture it, save it and deliver it to your clients who can use this data to do transaction cost analysis, trade surveillance, P&L and a lot of other stuff. But in the long run, you will find yourself in a position where knowing the data inside out would help a lot. It can even be the deciding factor in who gets the next promotion! To be able to do your job most effectively, it’s highly crucial to know the data itself. Understand life cycle of a trade: how is the data generated, how it is provided and how it is analyzed for different purposes by different teams.
I will be writing a series of posts about market data itself. This post will focus on types of data such as trade, quote and market depth. In a future post, I will cover types of securities as well.
Most common way of approaching this topic is probably by starting from the higher level with trades and quotes and then diving deeper into depth and orderbook data. However, I am going to explain in the reverse order because that’s the natural flow of the data. It will help you understand market data with respect to the trading life cycle.
Note: I excluded time stamps from examples below as they were unnecessary.