Every trading decision relies on market data. Whether you are checking a stock price, analyzing volume, or watching the order book, you need accurate and timely information. This guide explains the different types of market data and helps you choose the right feed for your trading style.
Understanding Market Data Types
Real-Time vs Delayed Data
Real-time data shows prices as they happen. Delayed data, typically 15-20 minutes old, is cheaper or free but useless for active trading. The type you need depends entirely on how you trade.
Who needs what: Day traders need real-time data. Swing traders can often work with 15-minute delays for analysis. Long-term investors rarely need real-time data at all.
Level 1 Data
Level 1 shows the basic quote: current bid, ask, and last trade price. This is what most people see when they check a stock price. It is sufficient for most swing traders and investors.
Level 1 Data Example
AAPL Quote:
- Bid: $185.50 x 300
- Ask: $185.52 x 500
- Last: $185.51
- Volume: 45,234,567
Level 2 Data (Market Depth)
Level 2 shows the order book, multiple levels of bids and asks beyond the best price. Day traders use this to see where large orders are sitting and anticipate short-term price movements.
Level 2 Data Example
AAPL Order Book:
- Bids: $185.50 (300), $185.49 (1,200), $185.48 (2,500)
- Asks: $185.52 (500), $185.53 (800), $185.54 (1,800)
This shows buying support at $185.48 and potential resistance at $185.54.
Time and Sales
Also called the tape, this shows every individual trade as it happens. Active traders watch this to see if large orders are hitting the bid or lifting the ask, indicating selling or buying pressure.
Market Data Sources
Exchange Direct Feeds
Data straight from NYSE, NASDAQ, and other exchanges. This is the fastest and most expensive option, used by professional trading firms.
Consolidated Feeds (SIP)
The Securities Information Processor combines data from all exchanges into a single feed. Slightly slower than direct feeds but much more affordable and sufficient for most traders.
Broker-Provided Data
Most retail brokers include market data with your account. Quality varies significantly between brokers. Some offer real-time data free while others charge monthly fees.
Best Market Data Providers
For Retail Traders
Your Broker
Start here. Many brokers like TD Ameritrade (Thinkorswim), Interactive Brokers, and Fidelity offer comprehensive data packages to active traders, sometimes free with minimum trading activity.
TradingView
TradingView includes real-time data for many markets in their paid plans. The Pro plan ($14.95/month) includes real-time data for US stocks.
Quotestream
An affordable standalone data service starting around $20/month for real-time US equity data. Useful if your broker's data is insufficient.
For Developers and Algorithmic Traders
Polygon.io
API-first market data with real-time and historical data. Plans start at $29/month for delayed data, $199/month for real-time.
Alpha Vantage
Free tier available with limited calls. Good for learning and small projects. Paid plans for production use.
IEX Cloud
Developer-friendly API with pay-as-you-go pricing. Good balance of cost and quality for algorithmic trading projects.
For Professional Traders
Bloomberg Terminal
The gold standard for professional market data. Around $24,000/year. Includes data, news, analytics, and messaging in one platform.
Refinitiv (Thomson Reuters)
Another professional-grade option with comprehensive global market data. Similar pricing to Bloomberg.
Choosing the Right Data Package
Day Traders
You need real-time Level 1 data at minimum. Consider Level 2 and time and sales for better order flow analysis. Cost: $0-$100/month through most brokers.
Swing Traders
Real-time Level 1 data is helpful but not essential. You can often use 15-minute delayed data for analysis and get real-time quotes from your broker when ready to trade. Cost: Often free.
Options Traders
You need real-time options data, which is separate from equity data. Options data is more expensive because it includes thousands of contracts per stock. Most brokers include this free for options traders.
Algorithmic Traders
You need API access with historical data for backtesting and real-time data for live trading. Budget $50-$500/month depending on data needs.
Understanding Data Costs
Market data fees can be confusing. Here is how they typically work:
Common Data Fee Structure
- NYSE/AMEX: $1-$45/month for non-professional users
- NASDAQ: $1-$25/month for non-professional users
- Options (OPRA): $1-$10/month
- Level 2: Additional $10-$30/month per exchange
Professional users pay significantly more, sometimes 10x retail prices.
Professional vs Non-Professional Status
Exchanges charge different rates based on how you use data. Non-professional users (most retail traders) pay much less. You qualify as non-professional if you trade for your own account and are not in the securities industry.
Data Quality Considerations
Latency
How fast data reaches you. For most retail traders, anything under 500 milliseconds is fine. High-frequency traders need microsecond latency.
Reliability
Data outages during market hours can be costly. Professional platforms prioritize uptime with redundant systems.
Coverage
Make sure your data feed covers the markets you trade. Some feeds focus on US markets while others include global coverage.
Historical Data
For backtesting, you need quality historical data. This is often sold separately from real-time data.
Focus on Your Trading, Not Data Management
Pro Trader Dashboard handles data integration so you can focus on what matters: your trading performance. Sync your trades automatically and get the insights you need.
Summary
The right market data depends on your trading style and budget. Day traders need real-time data with possibly Level 2 depth. Swing traders and investors can often work with delayed data or basic real-time quotes. Start with what your broker provides for free, and only upgrade when the limitations impact your trading. Remember that faster data does not automatically make you a better trader. Focus on your strategy first, then optimize your data feeds as needed.
Want to set up alerts based on market data? Check out our guide on trading alert systems or learn about mobile trading apps.