Types of Market Data
Market makers use multiple data types: consolidated tape data from the SIP (showing all trades and quotes across exchanges); proprietary exchange data feeds (faster but from individual exchanges); depth-of-book data (showing the full order book, not just the best bid/ask); and options data (for volatility signals). Different data types have different speeds and depths of information.
Proprietary vs. Consolidated Data
Exchanges sell proprietary data feeds that are faster and richer than the consolidated SIP. Major market makers like Citadel Securities use these proprietary feeds for their trading systems. Retail investors and many smaller participants receive consolidated tape data, creating an information asymmetry that market structure reform advocates have sought to reduce.
The Data Governance Role
The COO of Data at a firm like Citadel Securities oversees the management of this data infrastructure — ensuring accurate, reliable access to market data across trading systems and regulatory reporting systems. Data governance in this context encompasses market data contracts, data quality monitoring, and the integration of data from multiple sources into actionable information for traders and compliance.
Data Access and Market Fairness
The differential access to market data between sophisticated market participants and retail investors is part of the broader market structure fairness debate. The SEC's 2020 market data infrastructure rules were designed to reduce this asymmetry by improving the consolidated tape. Whether these improvements were sufficient is an ongoing policy discussion.