LIVE Share Market Data- Types & Uses

This article is about the technical details about types of available live share market data. If you  are just looking for a recommendation for good data vendor, contact us through comments section or avail personalized consultancy.

Types of Live Data

Tick By Tick Data: All bids, offers and trades with timestamps, including exchange flags such as bulk deal. It is available at co-location and used by HFT traders.

Time and Sales (ToS): contains series of all trades with timestamps. Pure ToS is available only at co-location while snapshot ToS is available both by brokers and data vendors. Amibroker also provides ToS window.

Intra-day Data: trades with timestamps which are between the open, high low and close of a particular time interval (time frame). Example: a 1-minute data will have the four time stamps in every interval of 1-minute. It is used by short-term traders.

End-of-Day (EOD) Data: Contains the open, high, low and close of each trading day. It is used by investors.

Level 1 Data: includes Best Bid Price & Size, Best Ask Price & Size, Last Trade Price & Size.

Level 2 Data: shows the Level 1 data up to depths of best 5. That is, the top 5 buyers and sellers with their sizes. This data can be very useful for execution strategies. An example: I want to buy 1000 shares, but my slice my order in parts so that each slice order quantity is not more than the sum of displayed quantities of best 3 sellers. Such execution strategy can help in impact cost to a good extent.

Level 3 Data: shows the Level 1 data up to depths of best 20. That is, the top 20 buyers and sellers with their sizes. This data is primarily used by institutions for deploying execution strategies which trade in huge quantities. EOD Level 3 data is available through NSE at a annual subscription fee of Rs.4,00,000/- each for Capital Market and Futures & Options segment.

Over-the-counter (OTC) Data: OTC data includes trades which are not taken through a centralized exchange. Example: trades in bonds which are not listed on NSE, even though the bond issuer may be listed. Data containing all OTC Trades of Listed bonds and OTC Trades of unlisted bonds that are reported on the National Stock Exchange’s Corporate Bond Reporting & Integrated Clearing System, is available by NSE at annual fees or Rs. 3,00,000.

Best Market data provider in World for India/International

  • Bloomberg
  • Reuters
  • Interactive Data
  • OneMarketdata
  • Ticker Plant ( FT India)
  • Exchanges Itself
  • Telekurs
  • Tickdata
  • ActivFinancial
  • Morning Star

Please discuss regarding your issues/requirement of market data using the comments section below.