Education · Stage 1 · 10
Market data: what a feed is and why it is paid for
A chart is not a picture the platform downloads. It is drawn, locally, from a stream of messages sent by the exchange every time something happens. What you pay for is permission to receive that stream — and how complete a version of it you get.
Mak · 4 min read · Stage 1, article 10 of 13
What is actually arriving
The exchange's matching engine publishes events: a trade happened at this price for this size; an order was added at this level; an order was cancelled. Your platform receives them and rebuilds the market from them — the last price, the book, the candles, the volume, all of it.
One consequence worth knowing early: for futures there is one venue. Unlike shares, which trade in a dozen places at once and need to be pieced together, the contract has a single order book. What you receive is not a sample of the market. It is the market.
The three levels
Why it costs money
The data belongs to the exchange, and it licences it. Your broker or platform collects the fee and passes it on, which is why the same feed costs roughly the same wherever you buy it — there is not much for anyone to discount.
Two things determine the bill: which exchange and what you are. Exchanges divide subscribers into non-professional and professional, and the second pays a great deal more. The classification follows the exchange's own rules — how you are registered, whether you trade for others, how you use the data — not what you feel like. It is worth reading the definition once, when you sign up, rather than after a back-billing letter.
Delayed data is usually free. It is fine for looking at a market you do not trade, and useless for anything in this path.
The trap: two feeds that draw the same chart
This is the part that matters years later, so it is worth reading now even if it sounds technical.
Some feeds deliver every event. Others deliver a snapshot a few times a second: the state of things at that instant, with whatever happened in between summarised or dropped. Both produce a perfectly normal-looking chart. Candles, volume and levels all look right.
What changes is anything built on individual trades: the tape, volume-based bars, footprint charts, delta. Those are counting events. Given a summary instead of the events, they produce a number — it just is not the number they claim to be, and nothing warns you.
- What survives a snapshot feed
- Time-based candles, the general shape of the day, levels, the daily range. If you trade from a chart alone, you may never notice the difference.
- What quietly does not
- Every tool that counts trades or classifies them as buys and sells. It will still draw. It will disagree with somebody else's screen, and the disagreement will look like a software bug rather than a data question.
History is a separate purchase
Two more surprises, both cheap to avoid.
First: the past does not arrive with the subscription. Live data is a stream; historical data is a file somebody has to have kept. Platforms often supply a limited amount, and detailed history — every trade, or bid and ask at each moment — is frequently a different product at a different price.
Second: what you did not record, you cannot recover. If a tool needs the book's history to rebuild something, and the platform was not running and recording when it happened, that period is simply gone. Nobody sells it back to you afterwards.
What to check before you pay
- Which exchange the subscription covers, and whether the contract you trade is on it.
- Whether it includes depth, or only the top of the book.
- Whether it is event-by-event or aggregated — and ask directly, because the marketing word is «real time» either way.
- How much history comes with it, and whether the detailed kind is extra.
- Which category the exchange puts you in, in its own words.
These are the questions that decide whether the tools in stage 7 will work at all. Asking them costs one email. Finding out later costs the two years in between.