Market data, encompassing thousands of tickers daily, is generated when trades are matched on stock exchanges or by market makers. This raw data includes details such as ticker, price, share volume, and exact trade time, with even cancelled or modified orders being logged.
This unprocessed data is then refined through multiple services. Clearinghouses and data wranglers process the information, with Securities Information Processors (SIPs) consolidating data for US exchanges. This consolidated data forms the 'tape', a continuous stream of trading activity.
Aggregators further process this data by standardising formats and enriching it with insights such as Volume Weighted Average Price (VWAP), intraday/yearly highs and lows, and percentage changes. Finally, brokers and trading platforms receive this consolidated, aggregated, and enriched data to display price action and corporate events to users.