Market Data

joellewis/finance_skills

This handles the entire market data stack for financial services, from deciding between SIP consolidated feeds versus direct exchange connections to managing Bloomberg and Refinitiv licensing. It covers the three depth levels (Level 1 NBBO for portfolio managers, Level 2 aggregated depth for trading desks, Level 3 full order book for market makers), ticker plant architecture, and the messy world of exchange entitlements and non-display licensing. The guide is thorough on vendor tradeoffs and when latency actually matters versus when consolidated tape is fine. Use this when you're building or evaluating market data infrastructure and need to understand why your quotes are stale or whether you actually need that expensive direct feed.

skills.sh installs

776

GitHub stars

224

last updated

Aug 21, 2026

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