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The Guide to Market Data Basics for US Equities

Despite being one of the largest expenses for financial services firms, relatively few take the time to learn about the intricacies of market data. The topic warrants a much closer look. Though it may seem like a familiar concept through day-to-day experience, market data involves much more than best bid and offers, completed trades, and support and resistance measures. There are entire other layers of depth available that allow for more accurate and sophisticated measures than surface level data alone provides. 

This guide will explain some of the nuances of market data and how firm scan access it. Armed with this knowledge, firms will be empowered to make more informed and strategic market data purchasing decisions.

SIP Feeds and the National Market System

The Security Information Processor (SIP) feeds are requirements set forth by the SEC as
part of the Regulation National Market System (NMS). Regulation NMS aims to reduce
market fragmentation caused by unreliable trade reporting across market venues for
individual securities. Designated as the NMS Plan, the details for executing the
regulation requires exchanges to provide real-time reporting of transactions and their prices, volumes, and auditing details. The two SIPs are the Unlimited Trading Plan (UTP) and the Consolidated Tape Association (CTA).

Since the securities listed on Nasdaq can be quoted and traded from any US exchange,
Nasdaq established the Unlimited Trading Plan to outline the consolidation and
distribution of that data through one centralized resource. The quotes and trades are
primarily delineated according to two feeds, the UTP Quotation Data Feed (UQDF) and
the UTP Trade Data Feed (UTDF).




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