Market Data

Market Data
Market data is the current trading information for the market, and includes information such as the current prices, the most recently traded price, and the number of available and most recently traded contracts (volume). Market data originally comes from the exchange that provides the market (such as the CME for the ES futures market), but day traders usually receive the market data via their day trading brokerage.
Market data comes in two levels, with level 1 providing the basic information, and level 2 providing the basic information, plus some additional information. Which level of market data you require will depend upon your trading system, and whether or not it needs the additional information.
A description of the two levels of market data, and a discussion of when level 2 market data is required, are available in the market data glossary entry.