Can this skill assist with data quality monitoring?

Yes, it provides implementation patterns for detecting stale quotes, sequence number gaps in ITCH/PITCH feeds, and filtering erroneous ticks.

What is the difference between SIP and direct feeds?

The SIP (Securities Information Processor) provides a consolidated NBBO from all exchanges with higher latency, while direct feeds come from individual exchanges, offering lower latency and greater depth at a higher cost.

What is non-display data usage in market data licensing?

Non-display use refers to data consumed by automated systems like trading algorithms, risk engines, or valuation platforms, rather than human users, and typically requires specific licenses.

How do I choose between Level 1, 2, and 3 data?

Level 1 is for basic valuation (NBBO); Level 2 provides market depth for active trading; Level 3 offers full order-by-order detail for HFT and market making.

Market Data Infrastructure

Name: Market Data Infrastructure
Author: JoelLewis

byJoelLewis

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データサイエンスとML

Designs and manages financial market data systems, including real-time feeds, exchange licensing, and high-performance distribution architecture.

This skill provides specialized guidance for financial services firms building or optimizing market data infrastructure. It covers critical architectural decisions such as choosing between SIP and direct exchange feeds, evaluating major vendors like Bloomberg and Refinitiv, and designing low-latency ticker plants. By addressing technical requirements for Level 1, 2, and 3 data alongside complex exchange licensing and non-display entitlement management, this skill helps developers ensure data accuracy, regulatory compliance, and system reliability for trading and portfolio management platforms.

主な機能

01Expert guidance on exchange data licensing and non-display usage reporting

0218 GitHub stars

03Evaluation of Level 1, 2, and 3 depth-of-book data requirements

04Technical comparison of SIP (Consolidated Tape) vs. direct exchange feeds

05Data quality management including stale quote detection and gap analysis

06Architecture design for ticker plants and pub-sub fan-out patterns

ユースケース

01Managing an exchange data audit and optimizing non-display entitlement costs

02Designing a cloud-based market data distribution system for investment applications

03Building a low-latency trading infrastructure using direct exchange feeds

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills market-data

For use in Claude.ai and ChatGPT

Download Skill