Market Data Explained

For the purposes of this guide, this content set is grouped into the following logical

subtypes:

1. Pricing data – attributes that indicate the economic value placed on an individual

security by participants in the market. A host of factors affect the value, ranging

across the content described here. Pricing data has two subtypes:

• end of day – pricing values recorded at the end of day to provide a benchmark

for a variety of functions

• time and sales – time-indexed records of pricing values and counterparties

recorded over the course of the trading day

2. Time and sales data – at the most specific level are details related to each individ-

ual trade, ...