Market data encompasses real-time and historical information about financial instruments including prices, volumes, bid-ask spreads, and other trading metrics. High-quality market data is essential for informed trading decisions, technical analysis, and risk management. Market data feeds are provided by exchanges, data vendors, and brokers with varying levels of detail and latency.

Different trading strategies require different market data quality levels, from basic delayed quotes for long-term investing to ultra-low latency feeds for high-frequency trading. Market data costs can be significant for professional traders, while retail traders often receive basic data packages. Understanding data quality, timing, and costs helps optimize trading infrastructure and decision-making capabilities.

Real-world example: A day trader subscribes to Level II market data for $50 monthly, providing real-time order book depth and trade execution information that enables better timing and execution compared to basic delayed quotes.