MayStreet Data Quality: An In-Depth Examination White Paper

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Download the "MayStreet Data Quality: An In-Depth Examination" White Paper

MayStreet’s ability to offer the industry’s highest quality data stems from our proprietary technology and processes for capturing, monitoring and normalizing execution venue market data. Here’s how we do it.

Defining Data Quality

Capital markets data quality is all about ensuring that market data meets the needs of capital markets professionals. MayStreet defines data quality as including the following elements.

Accuracy – Based on exactly what the execution venue published, what the execution venue published, this means collecting the exchange’s native format into a PCAP file with nanosecond precision hardware timestamps. To achieve accuracy, data collection must be on the direct connections to the exchanges, i.e, cross-connects on the fastest networks. Many sites have Layer 1 switches to assign a timestamp directly at ingestion from the exchange cross-connect. Additionally, the capture of feeds must happen at both primary and secondary data centers to ensure lossless data collection. Timestamps should be GPS synchronized data with redundant clock sources.

Availability – Available in a timely manner (i.e., real-time, intra-day, or T+1) at the location of our clients’ choosing be it on-premises, in the cloud or hybrid cloud.

Completeness – Both within a feed and across feeds.

  • Within a feed – Redundant capture across multiple sites, capturing A/B lines to ensure a clean and complete data stream.
  • Across feeds – Full range of Level 1, 2 and 3 data. Depth-of-book feeds across all major markets, including equities, equity options, derivatives, futures, commodities, etc. View our full market coverage.

 

Latency – Captured within timeframes required to support low-latency use cases.

To learn more about our approach to data quality, check out our blog Mastering the Fine Art of Capital Markets Data Quality or reach out if you’d like to set time to talk directly to a member of our data capture team.