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Вендоры рыночных данных зарабатывают на продаже рыночных данных реального веремени и арзивов участникам рынка. С получаемой суммы они отстегивают процент биржам, которые поставляют им эти данные. А биржи полученные деньги раздают в определенных долях участникам рынка - которые создали эти данные - т.е. тем, кто произвел определенное количество торгов и попал в ленту рыночных данных, которую биржа продала вендорам. На публичные биржах публикуются цены не только торгов, которые происходят на бирже, но и торгов, происходящих в ECN и AST/dark pools. Они тоже получают свою денежку от биржи, если количество торгов произведенных в них превышает определенный процент. Таким образом ECN/AST зарабатывают еще и просто на высокой активности своих участников. Чтобы повысить эту активность ECN/AST прибегают к механизму "rebates", когда маленькию плюсик получает liquidity taker или liquidity maker. Случай с MarketXT в 2002 году показывает, что это может привести к различным мошенничествам и злоупотреблениям.

Market data for virtually all stock markets, for example, is provided by the Consolidated Tape Authority, or CTA, which is now part of NYSE Euronext, which provides two feeds. Order book changes are disseminated via the Consolidated Quotation System (CQS) feed, and trades via the Consolidated Trade System (CTS) feed. Participating markets stream real-time data to the CTA, which consolidates it and sends it out directly to recipients or to market data vendors who resell it to their customers.

Most stock markets also provide market data directly.

Options market data is also available in both consolidated and direct form. The consolidated version is provided by the Options Reporting Authority, or OPRA, which includes quotes, trades, and market states from each of the subscribing exchanges.

Futures market data is provided directly by the Chicago Mercantile Exchange and the Intercontinental Exchange.

You might wonder why anyone would bother getting market data from a consolidator rather than directly from each exchange. Naturally, the latter approach is more costly due to the need to maintain not one connection (to a consolidator) but several connections to several exchanges. Cost is no object for some of the larger HFT firms, yet still they will listen to consolidated feeds. For one, no market data feed is perfect. Having multiple sources of data helps one, for example, to verify that an unusual market data tick is real and not an error by having a second source to compare it to. Also, it is possible in some cases to get a price change on a consolidated feed sooner than from a direct feed. This has to do with how the exchange disseminates its price changes. In general, an exchange will immediately post a price change to, say, OPRA. But it may use a polling strategy for disseminating to direct subscribers, publishing new ticks at some interval, say, every 500 microseconds. Should a price change happen right after the polling interval, OPRA subscribers will get the tick before direct subscribers.

Market data for virtually all stock markets, for example, is provided by the Consolidated Tape Authority, or CTA, which is now part of NYSE Euronext, which provides two feeds. Order book changes are disseminated via the Consolidated Quotation System (CQS) feed, and trades via the Consolidated Trade System (CTS) feed. Participating markets stream real-time data to the CTA, which consolidates it and sends it out directly to recipients or to market data vendors who resell it to their customers

Consolidated Tape

NASDAQ’s Third Market is a quotation, communication, and execution system which allows NASD members to trade stocks listed on the New York Stock Exchange (NYSE) and the American Stock Exchange (AMEX). The Third Market competes with regional exchanges like the Chicago Stock Exchange (CHX) and the Cincinnati Stock Exchange (CSE) for retail order flow in stocks listed on the NYSE and AMEX. The NASD collects quotations from broker-dealers that trade these securities over-the-counter and provides such quotations to the Consolidated Quotation System for dissemination. Additionally, the NASD collects trade reports from these broker-dealers trading such securities in the over-the-counter market and provides the trade reports to the Consolidated Tape Association (CTA/CQA) for inclusion in the Consolidated Tape. As a participant in the CTA and CQA, the NASD earns a share of those organizations’ revenue from trades that it reports in NYSE-listed securities (Tape A) and in AMEX-listed securities (Tape B). It is from the NASD’s share of these revenues that NASDAQ created credit pools for qualified members. Both CHX and CSE established similar programs. To remain competitive with these markets, the NASD must evaluate programs designed to effectively respond to other market’s approaches to trading the same securities.

Market Data

Carries pricing information for financial instruments, news, and other value-added information such as analytics. It is unidirectional and very latency sensitive, typically delivered over UDP multicast. It is measured in updates/sec. and in Mbps. Market data flows from one or multiple external feeds, coming from market data providers like stock exchanges, data aggregators, and ECNs (Electronic communication network).

Each provider has their own market data format. The data is received by feed handlers, specialized applications which normalize and clean the data and then send it to data consumers, such as pricing engines, algorithmic trading applications, or human traders. Sell-side firms also send the market data to their clients, buy-side firms such as mutual funds, hedge funds, and other asset managers. Some buy-side firms may opt to receive direct feeds from exchanges, reducing latency.

There is no industry standard for market data formats. Each exchange has their proprietary format. Financial content providers such as Reuters and Bloomberg aggregate different sources of market data, normalize it, and add news or analytics. Examples of consolidated feeds are:

RDF (Reuters Data Feed),
RWF (Reuters Wire Format),
and Bloomberg Professional Services Data.

To deliver lower latency market data, both vendors have released real-time market data feeds which are less processed and have less analytics:

RDF-D (Reuters Data Feed-Direct) (http://about.reuters.com/productinfo/datafeeddirect/)

Bloomberg B-Pipe—With B-Pipe, Bloomberg de-couples their market data feed from their distribution platform because a Bloomberg terminal is not required for get B-Pipe. Wombat and Reuters Feed Handlers have announced support for B-Pipe.

market data systems:

Reuters RMDS
Wombat MDS

deliver data rates of over one million updates per second to trading applications

Reuters RMDS

Market data distributors

пример договора на раздачу market data с биржи третьим лицам: http://www.lme.com/dataprices_redistributing.asp

Вендоры

Quick Corp. - http://corporate.quick.co.jp/ - японская компания - ведущий вендор в Японии