Real-Time Market Data (RTMD)
Real-Time Market Data (RTMD) refers to the continuous stream of pricing, order book, and trade information delivered from exchanges and trading venues to market participants with minimal latency. RTMD is fundamental to price discovery, trading decisions, and market transparency.
Understanding real-time market data
Real-time market data represents the current state of financial markets, delivered as close to instantaneously as possible. This includes:
- Best bid and ask prices
- Order book depth
- Last trade price and size
- Trading volume
- Market statistics
- Reference data updates
The quality and timeliness of RTMD directly impacts trading decisions, risk management, and market efficiency. Modern markets rely on sophisticated feed handlers to process millions of messages per second with microsecond latency.
Market data types and levels
RTMD is typically categorized into different levels:
- L1 - Top of book quotes and basic trade data
- L2 - Full order book depth and aggregated price levels
- L3 - Complete order-by-order detail
Next generation time-series database
QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.
Data delivery mechanisms
RTMD is distributed through various channels:
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Binary protocols - High-performance formats like:
-
Market data networks - Specialized infrastructure for:
- Unicast delivery
- Multicast distribution
- Point-to-point connections
-
Consolidated feeds - Aggregated data from multiple sources:
- Securities Information Processor (SIP)
- Commercial consolidated feeds
- Custom aggregation solutions
Performance considerations
Key metrics for RTMD systems include:
- Message throughput capacity
- Wire-to-Wire Latency
- Data consistency and quality
- Recovery mechanisms
- Backpressure handling
Market data entitlements
Market data entitlements control access to RTMD through:
- User authentication
- Usage tracking
- Subscription management
- Compliance monitoring
Applications of RTMD
Real-time market data enables critical financial functions:
- Algorithmic trading decisions
- Risk management
- Market Surveillance
- Price discovery
- Trade Execution Quality analysis
- Real-Time Portfolio Optimization
Impact on market structure
RTMD plays a central role in modern market structure:
- Enables price formation
- Supports market transparency
- Facilitates fair and efficient markets
- Reduces information asymmetry
- Powers automated trading systems
The quality and accessibility of RTMD significantly influences market efficiency, liquidity, and fairness for all participants.