Market data is the trading information for a financial market, such as the market's prices (i.e. the bid price, the ask price, and the most recently traded price (i.e. the last, or the close)), and the volume (i.e. the number of shares or contracts (etc.) that have been traded).
Market data for a particular market is usually available in several different versions, depending upon which trading information is included (e.g. only the market's prices, the market's prices and the volume, etc.) , and how much of a particular piece of trading information is included (e.g. level I market data, level II market data, etc.), and whether the market data is provided in real time or is delayed (e.g. provided fifteen minutes late, etc.).
Choosing the Appropriate Market Data
Choosing the appropriate market data for a particular trading style (i.e. scalping, day trading, swing trading, or position trading) is relatively straightforward, but it is a choice that many traders make incorrectly, which can either have no adverse consequences beyond paying slightly too much in market data subscription fees, or can have rather severe adverse consequences such as causing a trader to use the wrong market prices at the wrong time (e.g. scalping using delayed market data).
Level I or Level II Market Data<
Level I market data usually includes the bid price, the bid size, the ask price, the ask size, the most recently traded price (i.e. the last, or the close), and the most recently traded size. Level II market usually includes the highest bid prices, the highest bid sizes, the lowest ask prices, the lowest ask sizes, the most recently traded price (i.e. the last, or the close), and the most recently traded size. A detailed description of both level I market data and level II market data is available in my article explaining level I and level II market data.
Most traders (including most professional traders) only need level I market data, because level I market data provides all of the trading information that is required to display a graphical chart of a particular market, and provides all of the trading information that is required to trade a professional trading technique. A few professional traders (but never new traders) could need level II market data if they are trading in a manner that requires knowing the prices and sizes that are available in the order book (e.g. an institutional trader trading very high numbers of contracts could need to know how many contracts were available at which prices).
Real Time or Delayed Market Data
Real time market data provides the current trading information in real time (i.e. every change in the market's prices is provided immediately). Delayed market data provides the same trading information as real time market data, but the trading information is provided at least several minutes late (e.g. fifteen minutes late, only at the end of the trading day, etc.).
Scalpers, day traders, and swing traders, need real time market data, because their trading style makes trades that are based upon the market's intraday prices (i.e. the prices that the market trades at during the trading day). Position traders (and usually investors) sometimes only need delayed market data, because their trading style makes trades that can usually be based upon the market's daily closing prices (i.e. the price at which the market closes at the end of each trading day).
Historical or Intraday Market Data
Historical market data is the trading information for the past (e.g. yesterday, last week, last year, etc.), and usually only includes the market's daily closing prices (i.e. the prices at which the market closed at the end of each trading day). Intraday market data is all of the trading information for a market, including the intraday trading information for the past (i.e. all of the prices that the market traded at during each trading day).
Scalpers, day traders, and swing traders usually need intraday market data, because their trading style usually uses intraday charts (e.g. hourly charts, fifteen minute charts, etc.), and requires performing analysis on the intraday trading information for the past (e.g. a day trader might need to analyse the intraday trading for yesterday in order to make a trade today). Position traders (and usually investors) sometimes only need historical market data, because their trading style usually uses historical charts (e.g. daily charts, weekly charts, etc.), and only requires performing analysis on the historical trading information (e.g. a position trader might need to analyse the daily closing prices for the past year in order to make a trade next week).
Intraday, Real Time, Level I Market Data
The recommended market data for almost all traders is intraday, real time, level I market data, because this market data will include all of the necessary trading information without including any of the (usually) unnecessary trading information. Intraday, real time, level I market data is suitable for all of the trading styles (i.e. scalping, day trading, swing trading, and position trading), and allows a trader to view all of the trading information for a market even if the trading information is not specifically require by their trading style (e.g. a position trader might be interested in knowing exactly when during the day their next trade becomes active, which would require intraday, real time, level I market data).