Market Data Structure

A Market Data Structure is a financial data structure that organizes market information for market analysis tasks and trading decision tasks.

• AKA: Financial Market Data Structure, Trading Data Structure.
• Context:
  • It can typically store Market Price Data including bid prices, ask prices, and transaction prices.
  • It can typically maintain Market Time Series with timestamps for temporal analysis.
  • It can typically organize Market Volume Data for liquidity assessment.
  • It can typically index Market Instrument Data by ticker symbols and instrument identifiers.
  • It can typically handle Market Updates through real-time data feeds.
  • ...
  • It can often support Market Data Aggregation across multiple trading venues.
  • It can often enable Market Data Compression for storage efficiency.
  • It can often provide Market Data Access Patterns for query optimization.
  • It can often implement Market Data Validation for data integrity.
  • ...
  • It can range from being a Simple Market Data Structure to being a Complex Market Data Structure, depending on its data complexity.
  • It can range from being a Real-Time Market Data Structure to being a Historical Market Data Structure, depending on its temporal focus.
  • It can range from being a Single-Asset Market Data Structure to being a Multi-Asset Market Data Structure, depending on its asset coverage.
  • ...
  • It can integrate with Market Data Systems for data distribution.
  • It can support Trading Systems for decision making.
  • It can interface with Risk Management Systems for exposure calculation.
  • It can connect to Analytics Systems for market analysis.
  • ...
• Example(s):
  • Price-Based Market Data Structures, such as:
    • Order Book for limit order management.
    • Price Tick Data Structure for price movement tracking.
    • Quote Data Structure for bid-ask spread maintenance.
  • Volume-Based Market Data Structures, such as:
    • Trade Tape Data Structure for transaction recording.
    • Volume Profile Data Structure for volume distribution analysis.
    • Market Depth Data Structure for liquidity visualization.
  • Analytical Market Data Structures, such as:
    • OHLC Data Structure for candlestick charting.
    • Market Microstructure Data for high-frequency analysis.
    • Options Chain Data Structure for derivatives pricing.
  • ...
• Counter-Example(s):
  • General Data Structure, which lacks market-specific optimizations.
  • Database Schema, which focuses on general data organization rather than market data handling.
  • Business Data Model, which addresses business processes rather than market dynamics.
• See: Software Data Structure, Financial Data Model, Trading System, Market Data Feed, Time Series Database.

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