# Market Data Explained > Market data covers trades, quotes, order book depth and reference data. Learn the main types, levels of data, real time vs delayed feeds, costs and common pitfalls. Source: https://learn.tradelabsai.com/alternative-data/market-data-explained/ Track: Data and Alternative Data · Level: Intermediate · Updated: 2026-10-03 Publisher: TradeLabs AI (https://tradelabsai.com). Education, not financial advice. Cite as: TradeLabs Learn, "Market Data Explained", https://learn.tradelabsai.com/alternative-data/market-data-explained/ Market data is the information generated by trading: the prices at which trades happen, the bids and offers waiting in the order book, volumes and related reference information. Every chart, indicator, backtest and trading algorithm depends on it. Understanding what market data contains, how it is delivered and where it can mislead you is a foundation for both discretionary and systematic trading. ## Types of market data | Type | Contains | Use | |---|---|---| | Trades (time and sales) | Price, size and time of each trade | Volume analysis, VWAP, tape reading | | Quotes (top of book) | Best bid and best ask with sizes | Spreads, execution decisions | | Depth of book (Level 2) | Multiple price levels of bids and offers | Order flow, liquidity assessment. See [Market Data Levels: Level 1, 2 and 3](https://learn.tradelabsai.com/programming/level-2-data/) | | Full order book (Level 3) | Individual orders, additions, cancellations | Market making, research | | Bars (OHLCV) | Open, high, low, close and volume per interval | Charts and most backtests. See [Tick Data and OHLCV Data](https://learn.tradelabsai.com/programming/tick-data-and-ohlcv-data/) | | Reference data | Symbols, contract specifications, corporate actions, trading calendars | Correct processing | | Derived data | Indices, implied volatility, Greeks | Analysis | ## Levels of data | Level | Typical content | |---|---| | Level 1 | Last trade, best bid and ask, daily volume | | Level 2 | Several price levels of the order book, often aggregated by price | | Level 3 | Individual orders (and, for some participants, ability to enter quotes) | ## Real time, delayed and historical - **Real time data:** delivered as events happen; exchanges charge fees, especially for professional users. See [Real-Time, Delayed and Historical Data](https://learn.tradelabsai.com/programming/real-time-data/) and [Market Data Fees](https://learn.tradelabsai.com/orders/market-data-fees/). - **Delayed data:** often 15 minutes behind; usually free. - **End of day data:** daily bars after the close. - **Historical data:** archives for research and backtesting. See [Historical Data for Backtesting](https://learn.tradelabsai.com/research/historical-data-for-backtesting/). ## Consolidated vs direct feeds In US equities, trades and quotes from all exchanges are combined into consolidated feeds (the Securities Information Processors, or SIPs). Large firms also buy direct feeds from each exchange, which are faster and contain more detail. The difference in speed, often measured in microseconds to milliseconds, matters for high frequency trading. See [Latency in Trading](https://learn.tradelabsai.com/orders/latency-in-trading/). **Example: One stock, many venues** A US stock trades on more than a dozen exchanges and many off exchange venues. A trade printed on one exchange at 10:00:00.000123 may appear on the consolidated feed a little later than on that exchange's direct feed. A retail chart built from consolidated data and a professional system built from direct feeds will usually look identical at the minute level, but differ at the microsecond level. For most traders, consolidated data is sufficient. See [Exchanges](https://learn.tradelabsai.com/market-structure/exchanges/) and [Dark Pools](https://learn.tradelabsai.com/market-structure/dark-pools/). ## Common data problems | Problem | Effect | |---|---| | Bad ticks | Erroneous prints create false highs and lows | | Missing data | Gaps in history distort indicators | | Unadjusted corporate actions | Splits and dividends create false jumps. See [Splits and Dividends in Price Data](https://learn.tradelabsai.com/programming/adjusted-prices/) | | Time zone errors | Misaligned data across markets. See [Timestamps, Time Zones and Daylight Saving](https://learn.tradelabsai.com/programming/timestamps-and-time-zones/) | | Survivorship bias | Datasets missing delisted securities. See [Survivorship and Selection Bias](https://learn.tradelabsai.com/research/survivorship-and-selection-bias/) | | Different session definitions | Including or excluding pre and post market trading | See [Cleaning Market Data](https://learn.tradelabsai.com/programming/cleaning-market-data/). ## Market data in crypto and prediction markets Crypto exchanges publish their own trades and order books through APIs and WebSockets, usually free. Prices differ across exchanges, so many traders use indices that combine several venues. Prediction markets such as Polymarket publish order books and trade data, and settlement sources such as Chainlink price feeds are a separate data stream. See [WebSocket Market Data Streams](https://learn.tradelabsai.com/programming/websocket-market-data-streams/) and [Oracles](https://learn.tradelabsai.com/crypto/oracles/). ## Choosing market data 1. **Match data to strategy:** daily bars for swing trading; tick or depth data for scalping and execution research. 2. **Check licensing and redistribution rules.** 3. **Understand timestamps and session rules.** 4. **Validate data quality** before trusting backtests. ## Frequently asked questions ### What is market data? Information produced by trading activity, including trade prices and sizes, bid and ask quotes, order book depth and related reference data. ### What is the difference between Level 1 and Level 2 data? Level 1 shows the best bid, best ask and last trade; Level 2 shows multiple price levels of bids and offers in the order book. ### Why do exchanges charge for market data? Real time data is a major revenue source for exchanges, and fees depend on usage, user type and how the data is distributed. Next, learn about company financial data in [Fundamental Data](https://learn.tradelabsai.com/alternative-data/fundamental-data/). ## Continue learning - Next lesson: [Fundamental Data](https://learn.tradelabsai.com/alternative-data/fundamental-data/) - Related: [What Is Trading?](https://learn.tradelabsai.com/start-here/what-is-trading/): Trading means buying and selling assets to profit from price changes. Learn how it works, who trades, what moves prices and the real risks involved. - Related: [Tick Data and OHLCV Data](https://learn.tradelabsai.com/programming/tick-data-and-ohlcv-data/): Tick data records every trade or quote; OHLCV bars summarise them by time. Learn how bars are built, other bar types, storage costs and which data a strategy needs. - Related: [Market Data Levels: Level 1, 2 and 3](https://learn.tradelabsai.com/programming/level-2-data/): Level 2 data shows bids and offers at multiple prices beyond the best quote. Learn level 1, 2 and 3 data, how to read depth, its limits and how traders use it. - Related: [Real-Time, Delayed and Historical Data](https://learn.tradelabsai.com/programming/real-time-data/): What real time market data really means, how it differs from delayed and snapshot data, where it comes from, what it costs and how to judge its quality. - Related: [Market Data Fees](https://learn.tradelabsai.com/orders/market-data-fees/): Real-time quotes and order book data often cost extra. Learn why exchanges charge for data, professional vs non-professional status and what data you actually need. - Related: [Historical Data for Backtesting](https://learn.tradelabsai.com/research/historical-data-for-backtesting/): Backtests are only as good as their data. Learn data types and sources, quality checks, corporate action adjustments and how to avoid survivorship traps.