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Market Data Lake

Petabytes of ultra-high quality global market data, accessible from the cloud


Ultra-high quality global market data, accessible when, where and how you want it.

The MayStreet Market Data Lake is a cloud-based, 20+ petabyte repository of ultra-high-quality global market data, all of which has been captured directly at the data center level. Flexibly access complete sets of lossless, top-of-book and full-depth data (i.e. Levels I, II, III) in the format of your choosing, or save bandwidth and compute costs by bringing your query to our Cloud to seamlessly pull down only the data or pre-configured analytics you need. However you access it, the MayStreet Market Data Lake provides peace of mind that your mission-critical applications and workflows are being powered by the highest quality market data available.

Data Capture

Leverages proprietary data capture processes and technology.

To ensure lossless data capture, we maintain redundant capture processes co-located in the major primary and backup exchange data centers across the globe. Using our proprietary Bellport capture technology, We timestamp data to the nanosecond and use sophisticated data arbitrage techniques to fill any gaps. Our data includes every tick, it’s never conflated.

Our extensive global coverage gives you access to feeds from hundreds of venues, covering the Americas, EMEA and APAC for equities, options, derivatives, fixed income, FX and more. Content is available in raw PCAP or normalized and formatted in Parquet and CSV. Consume our data in the ways that make the most sense for your use cases.

Access Methods

Multiple ways to consume our data: full datasets or just query results.

Analytics Workbench

Analytics Workbench is a cloud-based environment designed as a ready-to-use analytics environment that also manages Data Lake queries for extraction to any environment.

The flexibility of Analytics Workbench includes:

  • Intuitive GUI for orchestrating Data Lake queries. Set up recurring jobs to query the Data Lake and identify where results should be stored. You can either analyze query results within Workbench or extract query results into your own cloud or on-premises environment. 
  • Data analysis without the worry – let MayStreet manage the data capture, delivery and storage.
  • Upload your own data from a variety of sources, including S3 buckets.
  • Supports multiple use cases including market structure research, trade compliance checks, and TCA.
  • Export reports and 3D graphs to easily share your findings across Workbench users. 
  • Multiple cloud deployment options – work within MayStreet’s fully managed cloud environment or integrate Workbench into your own cloud environment to leverage existing administration and security policies.
Queryable Services

Avoid the hassle of data management and bring your queries to the MayStreet Data Lake. Using our queryable services you can query our Data Lake and only consume the data that you need. MayStreet offers the ability to query data from an endpoint with services optimized for big data and targeted queries. For big data queries, MayStreet supports SQL-based queries of our data in Parquet format. With the widespread adoption of Parquet by data science tools, clients can easily integrate MayStreet Data Lake content into their analytic workflows.

For targeted queries, our HPQ API lets you query near real-time, full-depth data at distinct time intervals of your choosing, resulting in significant bandwidth and compute resource savings by not having to pull down an entire day’s worth of market data. In addition to raw tick data, you can also access pre-configured calculations for TWAP, VWAP or hypothetical order completion time, enabling you to power a variety of workflows — including TCA, order routing analysis, volatility fitting, trade desk support and risk — in an incredibly efficient manner.

Historical data delivered daily; intraday data delivered in minutes. All of MayStreet’s data is available for delivery via SFTP or cloud into your own environment.

Whether you’re looking to receive data files that include all content within a feed or looking to create a custom data set, we can provide feed data on a historical and ongoing basis in raw PCAPs or normalized formats. For use cases that require intraday data, MayStreet offers data delivery within minutes using delayed or real-time data. Additionally, MayStreet produces several consolidated end of day files summarizing high, low, close, volume and other market statistics. By consuming our data via data files, MayStreet is responsible for capturing and delivering the data, while clients manage and query the data within their own environment.

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*Note - Links to sample CME and U.S. Equity SIP CSV data files will be sent to your email inbox.