What Is a Market Data Feed?
A market data feed is a continuous stream of financial information delivered from exchanges and data providers to traders, analysts, and software systems. It carries prices, trade volumes, order book data, and related statistics for instruments such as stocks, futures, forex, and bonds.
Types of market data
Market data falls into three broad categories based on when it is delivered. A full overview of all data types is available on the types of market data page.
Real-time data arrives within milliseconds of a trade being executed. It is the standard for active trading, algorithmic systems, and any application where the current price matters.
Delayed data is published with an intentional lag, typically 15 minutes. Exchanges charge lower licensing fees for delayed data, which is why many free or low-cost sources use it. It is not suitable for active trading but works for general market monitoring.
End-of-day data is published after the close of each trading session. It includes the open, high, low, close, and volume for the day. It is sufficient for longer-horizon analysis, backtesting on daily bars, and portfolio tracking. A direct comparison of both approaches is on the real-time vs. end-of-day page.
What a market data feed contains
Quote data
Quote data shows the current best bid and ask prices for an instrument, along with the associated sizes. It reflects where buyers are willing to buy and sellers are willing to sell at any given moment.
Trade data and tick data
Trade data records each executed transaction: price, volume, and timestamp. At the finest resolution this is tick data — every single price change, stored individually. Aggregated over time, ticks produce the OHLCV bars used in most charting applications.
Order book data
Order book data (also called Level 2 or market depth) shows all open orders at each price level, not just the best bid and ask. It gives a picture of supply and demand across the full visible order stack. This is the basis for order flow analysis and DOM-based trading.
Reference data
Reference data covers static information about instruments: identifiers (ISIN, ticker), trading hours, exchange, currency, and corporate action records such as splits and dividend payments. Without accurate reference data, price series cannot be correctly adjusted for backtesting.
How data is delivered
Exchanges transmit data using standardized protocols. FIX (Financial Information eXchange) is a widely used message format for order and trade data. Multicast protocols allow a single data stream to be received by many subscribers simultaneously, which reduces bandwidth compared to point-to-point connections.
WebSocket connections maintain a persistent, open channel between client and server. Data is pushed to the client as events occur. This is the standard approach for streaming real-time prices into trading applications. For developers integrating programmatic access, the market data API page covers available interfaces and protocols in detail.
REST APIs use a request-response model. The client sends a request and receives the current state of the data. This works for fetching historical records, reference data, or snapshots, but is not suited to streaming real-time prices because the client would need to poll continuously.
Data sources
The primary sources are exchanges themselves. NYSE and Nasdaq publish their own direct feeds, as do Eurex, the London Stock Exchange, and other venues. These direct feeds carry raw, unprocessed data from a single exchange.
Consolidated feeds aggregate data from multiple exchanges. They are simpler to integrate for strategies that trade across venues, since one connection covers multiple markets. Providers such as Bloomberg, LSEG, and Infront aggregate and redistribute exchange data alongside analytics and additional data types. A structured comparison of feed types is available on the data feed comparison page.
What to evaluate when choosing a feed
Coverage determines which exchanges and instruments are available. A feed covering US equities may not include European futures. Verify index constituent records and corporate action data if your strategy depends on them.
Latency and delivery method matter for active trading. Push-based feeds deliver data faster than polling a REST endpoint. The physical location of servers relative to your infrastructure affects round-trip time.
Licensing terms define what you can do with the data. Exchange data is licensed, and terms differ for personal use, commercial applications, and redistribution. Read the licensing conditions for each exchange package before deploying. An overview of available packages and costs is on the market data pricing page.
Historical depth is often a separate product from real-time feeds. If your work includes backtesting, confirm what intraday history, tick data, or daily records are available and at what depth.
Regulatory compliance requirements apply where relevant. Feeds used in regulated environments may need to meet documentation and audit standards under MiFID II or equivalent rules.
TAI-PAN data feeds
TAI-PAN, provided by Lenz + Partner, delivers real-time and historical market data via push technology. Coverage includes stocks, futures, forex, indices, and bonds across major exchanges. The feed carries tick-by-tick data, Level 2 market depth, and Commitments of Traders data from the CFTC.
Historical records cover end-of-day data from 1987 and intraday data from 2002. TAI-PAN integrates with trading platforms including ATAS, NinjaTrader, and ELWAVE. Setup guides for these integrations are available in the TAI-PAN blog. A 30-day trial is available for €1.
Software providers and content creators who recommend TAI-PAN data feeds to their audience can participate in the partner program, which pays a lifetime commission per referred customer.
