For systems people, there are two groups of market data – Live and Historical.
Live Market Data
Live market data is available during trading hours from the corresponding trading venue. Usually this data is streamed into corporation either through proprietary system or some vendor system. Live Market Data includes
– Bid – Highest Offer Price
– Ask – Lowest Asking Price
– Last Sale Price
– Time of Last Sale
– Change – difference between two last sale
– Tick (Direction) Up/Down – indicates new highest Bid is better than earlier highest Bid or not
– Day’s High – Highest sale price of day so far
– Day’s Low – Lowest sale price of day so far
– Trading Volume – total traded volume so far
All these details explain what is going on in the market at any given point of time.
Generally live market data is used by front-office for trading decisions etc.
Historical Market Data
Historical market data is the collection of historical prices stored in some kind of database. Based on the need historical data may spans from couple years to 30 years. Unlike live market data, historical data contains lesser elements. Some of them include –
– Closing price of the day
– High of the day
– Low of the Day
– Change from Previous Day etc
Generally historical data is used to calculate P&L, Risk Analytics, Performance Attribution, Research and in other functions.
Actual elements may vary based on the type of instrument you are dealing with. I hope this helps to understand the key ideas behind live and historical data management.