Market Data 101 [Part 1]

By Rachel Carpenter
April 8, 2022

What is a stock exchange, brokerage, and custody and clearing?

A stock exchange is a place where investors can buy or sell shares of a publicly traded company and they have technically been around since the 1400’s. Today there are over 60 exchanges around the world!

The process starts with Brokerage Firms and platforms such as Fidelity, Vanguard and Alpaca, where buyers and sellers meet to broker a trade. Then, stock exchanges like Nasdaq and the New York Stock exchange, facilitates the transaction, and the Depository Trust Clearing Corporation (or DTCC) or the Options Clearing Corporation (OCC) help to clear and settle trades, acting as a counterparty to guarantee completion for the transaction. Lastly, financial market custodians such as Bank of New York-Mellon and JP Morgan-Chase, hold the securities for safekeeping, which is similar to administering dividends and stock splits.

What is a stock price?

A stock price is essentially determined by the amount of supply and demand, meaning if there is more supply, the price goes down. And if there is more demand, the price goes up. A potential buyer makes a “bid”, and a seller makes an “ask”, creating the bid and ask price. The difference between the bid and ask is defined as the “spread” and when the two meet the stock is “priced”.  

A sale of stock occurs when an exchange matches a bid and ask, and the price of that transaction becomes the most recent stock price that most people are familiar with. This transaction is referred to as the ‘last price’ and it updates continuously across all venues where a stock trades. The stock price changes every single time a transaction is completed.  

And since all of this action is happening at the exchange level, the stock exchanges are the creators, owners, and disseminators of stock price data. The major exchanges include Nasdaq, New York Stock Exchange, Bats, CBOE & Memx, but there are dozens of other small exchanges in the United States. The lion’s share of trading happens on the three largest exchanges, Nasdaq, CBOE & the New York Stock Exchange, which is why the most accurate and commonly used stock price feeds come from these two exchanges.

Who uses stock price data?

You may be wondering why does this data exist and who exactly is using it?  

This data ends up everywhere. Academics use it for research. Individual retail investors, professional investors, high frequency traders & quants use it for research and making investment decisions. News stations & platforms, developers, and fintech companies use it to display in front of their customers. This data forms the lifeblood of investment decisions across the country.    

Why is there no “real” stock price?

Because of a feature of SEC regulations referred to as unlisted trading privileges (UTP), stock in a company can trade simultaneously on many exchanges even though that stock only has a single listing exchange. This means that the price of that stock, the last sale, is updating in many places at once. Exchanges that have more trade activity, or higher volume, have what is arguably considered to be “higher quality” stock price data because the trades are more indicative of the overall market appetite.  

However, every single exchange sells their own “pricing feed” and no one pricing feed will look the same. Remember, billions of shares of stock are traded every day. So, how can we trust any stock price feed above another? In 2005, the Securities and Exchange Commission developed a concept called the NBBO, National Best Bid and Offer. The NBBO provides a consolidated view of the highest bid and lowest ask from multiple exchanges. The NBBO is determined and disseminated by just two Security Information Processors or, SIPs. The SEC determined the two SIPs to be Nasdaq and New York Stock Exchange. Currently, these are the only two companies that can redistribute NBBO pricing, but regulations are changing rapidly.  

What are the pros of using NBBO data?  

This is arguably the most accurate pricing data on the market. It’s vetted and verified by two of the largest exchanges in the world. However, it comes at a hefty price. There’s a limited supply of these feeds and the exchanges price them at a premium. This this level of data is also not necessary for most investors or app developers, it’s beneficial to the users that are actively participating in high-frequency trading or executing trades on behalf of clients.  

What are the different types of pricing and market data?

  • Equities  
  • NBBO  
  • Real-time by exchange  
  • 15-minute delayed  
  • Tick data  
  • EOD data  
  • Historical data  
  • Options  
  • Opra vs Cboe  
  • Real-time options data  
  • EOD options data  
  • Unusual activity
  • Implied volatility
  • Greeks

Pricing data tells us how much a security, like a stock or ETF, costs at a certain time. The easiest way to understand the different types of market data is to ask what time the security was at a specified price.  

Most data consumers want to know the ‘Real-Time’ price. For options contracts, ETFs, stocks, bonds and many cryptocurrencies, the price of those instruments updates whenever markets are open. These real-time prices can come from the exchanges where the securities trade whenever a sale is made or from SIPs, OPRA, or other authorities that consolidate trade data from multiple venues.    

Real-time data comes in two flavors, Streaming and Snap. Streaming quotes are pushed to data consumers whenever an update occurs, usually via a Websocket API or direct connection to an exchange’s servers. Snap quotes are requests to update the stock price sent from the data consumer to the data producer, usually in the form of a REST API request. We will cover these types of delivery methods in Part Two of this blog series.  

Delayed data refers to real-time data that has been delayed and possibly aggregated over specific time intervals. Sometimes security data only updates once a day- net asset values (NAVs) for mutual funds are a good example. In some cases, as with options data, real time data is so ‘big’ that it can help to filter it down to less than real time so it becomes easier to analyze. For many types of pricing data, such as stock prices, delayed data is much cheaper to access than real time.  

End of day data refers to the final closing price for a security when trading ends for the day. This can vary depending on the exchange. 15-min delayed data is another common form of delayed data since many exchanges consider any data with less than 15 minutes of delay to be real time and thus more expensive. Tick data usually refers to a historical record of every movement in a security’s price and is commonly sought after for back testing. Tick data can be unwieldy and so many data consumers organize historical intraday data into interval bars. Interval bars take snap shots of a security’s price at different intervals such as 1-min, 5-min, or 10-min.    

The key to understanding the different flavors of real time and delayed market data is recognizing that they each serve a different use case and have a different financial cost. Data consumers should match their use case to the most affordable data type available.  

Where to access clean market data

Intrinio is recognized for providing high-quality data, immediate customer service, and modern tools for a variety of fintech platforms and businesses. Our dedicated team wants to help you find the best data package that fits your unique needs. Reach out to one of our data specialists today to find out more about our equities market data packages. And to learn more about all our financial services please visit

And don’t forget to check out our channel on YouTube for more informational, fintech videos and our complete Market Data 101 series!

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