What Really Matters in a Data Feed?

Balancing Cost, Coverage, and Performance with IEX.

Whether you’re a broker-dealer that consumes multiple market data feeds from all of your trading venues or a fintech that just needs to stream a single top of book feed to support an application, market coverage and cost are two key considerations. Data sourced from high market-share exchanges can result in steep monthly bills, but when firms consider adding more accessible data feeds from lower market-share exchanges they often question whether the quoted prices reflect the best price available in the market. While those concerns can be valid, IEX’s market data subscribers are getting the best of both worlds.

Even though IEX’s market share has grown by 55% since April 2024, we believe that more detailed metrics, like how often an exchange’s quote is on the NBBO, offer a more targeted way of assessing the quality of a data feed.  

In a recent Chart of the Month, IEX’s Head of Analytics, Sam Stevens, highlighted IEX’s impressive growth in these more targeted displayed quoting metrics. Recent changes to IEX’s exchange pricing and our valuable partnerships with our trading clients have meaningfully enhanced our displayed quoting and trading experience, making our market data more valuable than ever.

The chart below illustrates the percentage of time that each exchange’s quote is on both sides of the NBBO. Notably, IEX displays the best bid and offer in Russell 3000 stocks for approximately 29% of the trading day. That figure ranks third behind only Nasdaq’s and NYSE’s primary venues.

But as we discussed earlier, market coverage and performance are just one side of the coin. For many firms, the way in which market data is used can meaningfully influence the price of the data.

In an industry full of complex fee schedules and definitions, IEX stands out by keeping things simple.

Below, we look at two common use cases for real-time top of book market data feeds:

• Financial data providers, retail brokers, or fintechs that display real-time exchange data to external recipients (i.e., external distribution)

• Broker-dealers that ingest real-time data for internal use and trading purposes by their firm. These firms typically subscribe to multiple data feeds from the venues where they direct their order flow.

In both scenarios we combine the “coverage” provided by each top of book offering, measured by the percent of time an exchange’s quote is on both sides of the NBBO, with the estimated cost of each use case based on the prices listed above. For simplicity, when exchange operators offer a consolidated feed inclusive of data from multiple exchanges, we sum the NBBO coverage from each exchange that is included. This does not account for instances where two exchanges included in the same feed both have a quote at the NBBO in the same security, which may overstate a multi-exchange feed’s combined NBBO coverage and understate the cost per percentage point of coverage.

Another way to consider this data is by looking at the cost of 1% of two-sided NBBO coverage for each data feed. Under the name of each data feed, we have taken the total estimated monthly cost from the graph and divided that by the % of NBBO coverage.

The data shows us that the more expensive market data option doesn’t always provide a more reliable quote, and while surface level statistics like market share might give us a broad understanding of the size of a market, evaluating market data feeds requires a closer look.

IEX is proud to offer a suite of versatile market data products that support real-time market data use cases across multiple industries. Contact us at marketdataops@iextrading.com to learn more about how you can access IEX market data directly from IEX Exchange or through one of our third-party market data partners.