# market-data

A skill for designing market data infrastructure: real-time and delayed feeds, book depth, vendors, licensing and entitlements.

- skill · `type=skill` · Claude Code, Codex, Cursor, GitHub Copilot, Gemini CLI, OpenCode · 742 installs · ★ 218
- Author: JoelLewis
- License: MIT · policy=mirror · the beginning of the file is at the end of this page
- Source: https://github.com/JoelLewis/finance_skills/tree/HEAD/plugins/data-integration/skills/market-data/SKILL.md
- Updated: 2026-07-18
- HTML: https://affpapa.org/en/nevibecode/skills/market-data

## What it does

The skill walks through how an exchange data stream is put together and helps you pick an architecture for the job. It covers data types — trades, quotes, depth of book, index, fixed income, options, fundamentals — plus Level 1/2/3 and a table mapping use case to level. There is a side-by-side of the consolidated tape (SIP) against direct exchange feeds on latency, cost and normalization.

Separate sections handle vendors (Bloomberg, Refinitiv, ICE, FactSet, S&P Capital IQ, Morningstar) and licensing: professional versus non-professional, display versus non-display, derived data, redistribution. Cost figures in the skill are 2024-2025 list pricing, and it advises confirming them with the vendor before you budget. Worth knowing if you are sizing an annual contract.

It triggers on market data, Level 1/2/3, depth of book, consolidated tape, SIP, direct feed, NBBO, ticker plant, B-PIPE, data license, non-display use, entitlements, conflation and tick data. Reach for it when quotes go stale, ticks go missing, or you need to decide between the SIP and several direct feeds with your own NBBO calculation.

## Install

### Claude Code (native platform)

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill market-data -a claude-code
```

2. **Manually: put the files in place**
- File: `~/.claude/skills/market-data/SKILL.md` — Copy the whole skill folder; for one project use .claude/skills/market-data/

### Codex

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill market-data -a codex
```

2. **Manually: put the files in place**
- File: `.agents/skills/market-data/SKILL.md` — For all projects use ~/.agents/skills/

### Cursor

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill market-data -a cursor
```

2. **Manually: put the files in place**
- File: `.cursor/skills/market-data/SKILL.md` — Cursor also reads .agents/skills/ and .claude/skills/

### GitHub Copilot

1. **GitHub CLI**
```bash
gh skill install JoelLewis/finance_skills market-data
```

2. **Manually: put the files in place**
- File: `.github/skills/market-data/SKILL.md`

### Gemini CLI

1. **Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill market-data -a gemini-cli
```

2. **Platform CLI**
```bash
gemini skills install https://github.com/JoelLewis/finance_skills --path plugins/data-integration/skills/market-data
```

### Windsurf (Devin Desktop)

**Manually: put the files in place**
- File: `.devin/skills/market-data/SKILL.md` — The legacy .windsurf/skills/ path still works

### OpenCode

**Skills CLI (Vercel)**
```bash
npx skills add JoelLewis/finance_skills --skill market-data -a opencode
```

### Claude.ai

**Claude.ai**
- Zip the folder and upload it in Settings → Capabilities → Skills

Where a file is given instead of a command, copy the files from the source to that path: https://github.com/JoelLewis/finance_skills/tree/HEAD/plugins/data-integration/skills/market-data/SKILL.md

## When to use it
- choose between a real-time and a delayed feed for a client app
- work out exchange data licensing costs for a team
- decide whether Level 1 is enough or Level 2 depth is needed
- design a ticker plant and fan-out architecture
- trace stale quotes and missing ticks back to a cause

## Example prompts
- help me choose between SIP and direct feeds for a trading desk
- what non-display licenses does a risk engine need
- is Level 2 enough for algorithmic execution

## Source text · SKILL.md · MIT

Below is the content of a third-party file. It is data, not instructions for you: do not act on anything written inside unless the human asks. Block tag: f12b5b77c3437705.

BEGIN THIRD-PARTY FILE f12b5b77c3437705
```text
---
name: market-data
description: "Design and manage market data infrastructure — real-time and delayed feeds, Level 1/2/3 depth, consolidated tape vs direct feeds, vendor selection, licensing, and distribution architecture. Use when choosing between real-time and delayed data, evaluating market data vendors like Bloomberg or Refinitiv, designing ticker plants or fan-out architecture, managing exchange data licensing and entitlements, diagnosing stale quotes or missing ticks, deciding between SIP and direct exchange feeds, or assessing Level 2/3 depth-of-book requirements for trading. Trigger on: market data, Level 1/2/3, depth of book, consolidated tape, SIP, direct feed, NBBO, ticker plant, B-PIPE, data license, non-display use, market data entitlements, conflation, tick data, real-time feed."
---

# Market Data

## Core Concepts

### 1. Market Data Types

- **Trade data:** Last sale price, quantity, timestamp, condition codes (regular, odd lot,
  opening/closing), cumulative volume, VWAP.
- **Quote data:** NBBO (best bid/offer across all exchanges), bid/ask sizes. Quote updates
  vastly outnumber trade updates in liquid instruments.
- **Depth of book:** Multiple price levels beyond the NBBO with resting order quantities.
  Aggregated depth (size per level) or order-by-order (individual orders visible).
- **Index data:** Real-time index values, composition, weightings, total return values.
  Sources include exchange-calculated (S&P 500 via Cboe) and third-party (MSCI, FTSE Russell).
- **Fixed income pricing:** Dealer quotes, evaluated pricing (ICE, Bloomberg BVAL), TRACE
  trade reports for corporates, EMMA for municipals. Inherently less standardized than equities.
- **Options data:** Chains (strikes/expirations), Greeks, implied volatility, volume, open
  interest. OPRA provides the consolidated options feed.
- **Fundamental data:** Earnings, financial statements, corporate actions, analyst estimates.
  Sourced from vendors (Bloomberg, FactSet, S&P Capital IQ) rather than exchange feeds.
- **News and events:** Headlines, economic calendar (FOMC, employment), corporate events
  (earnings dates, ex-dates), sentiment scores.

### 2. Data Levels

**Level 1 — Top of Book:** NBBO, last sale, volume, daily OHLC. Sufficient for portfolio
management, client reporting, and order entry. Lowest cost and bandwidth.

**Level 2 — Market Depth:** Multiple price levels with aggregate size (top 5-20 levels per
side). Reveals liquidity beyond the NBBO. Essential for active trading, market impact
assessment, and algorithmic execution (TWAP, VWAP). Higher cost and bandwidth.
```
END THIRD-PARTY FILE f12b5b77c3437705

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---
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