Designing Shared Market Data Reference Infrastructure
Summary
The document proposes open infrastructure for retail users building market data repositories. Its main components are a memorable instrument naming scheme, mappings that let users request data through different providers with the same symbol, and a consistent schema for storing instrument reference data. Users would source the actual market data themselves.
A second proposed use is collaborative upkeep of company reports, news releases, regulatory filings, and historical events such as financial crises or bank failures. The document limits its intended coverage to exchange-traded products, while suggesting that foreign exchange may also need inclusion. A response supports the general idea of building a personal database and highlights the potential value of a maintained corporate-history dataset, but offers no implementation details, evidence of demand, or operating model. The discussion is therefore a project proposal and an expression of interest, rather than a tested method for trading or data management.
Key ideas
- A shared naming scheme can make instruments easier to identify across data providers.
- A provider mapping layer could let users query different feeds through consistent instrument names.
- The proposed system stores reference data while leaving market-data sourcing to end users.
- Crowdsourced updates could maintain company disclosures and historical corporate events.
- The proposal does not specify implementation, governance, or evidence of broad user demand.
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Full text
# Opensource marketdata reference data for retail market # Opensource marketdata reference data for retail market I'm not sure if this is the correct place to post this - but here goes: I have been working on a project for the last few years, during which I have come up with a set of components with the following affordances: - A simplified (easy to remember) instrument naming 'symbology' - A framework for mapping various data providers feed into the framework - meaning that the same simplified naming can be used to fetch instrument data across various feed providers - A simple schema for storing instrument data The end user will be responsible for sourcing the actual market data, what I am aiming to provide, is an infrastructure (libraries, databases etc), to store the reference data relating to the marketdata. The idea of this is twofold: i. To provide a framework for retail clients who want to build their own marketdata repositories ii. To tap into crowdsourcing, to help maintain database(s) that contains the latest company reports, company news releases, SEC filings etc, that everyone can benefit from. I want to know: - Is there any interest in such a project? - Are there any features that are a must, for the proposed system to be useful to as many people as possible? It goes without saying, that the proposed system will only cover exchange traded products (but this restriction has to be relaxed to include Forex markets in the asset classes covered). ## Answer by Quantopik (score 4, accepted) https://quant.stackexchange.com/a/17609 I think this project could be interesting! This is because, although already exist market data sources (see QUANDL) for free or cheap, I think it would be nice build your own database. Moreover, I find the fact you want to build an updated dataset about companies news, report & releases extremely interesting, since a serious source about historical financial crisis, for instance, or bank fails too is lacking. I think that a must could be what does not exist again, as what cited above! So, IMHO, this project could be a great idea!
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