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Market Data

A Structural Guide

By: Dan Solak

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Paperback | 25 August 2026

At a Glance

Paperback
208 Pages

Dimensions(cm)
22.86 x 15.24 x 1.12

Paperback

$108.90

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Market data is not observed. It is authored.

Every price on every screen is the end of a long chain of decisions - what counts as a trade, whose clock orders events, which version of history survives correction. Most people who work with market data every day have never seen the whole chain.

Market Data: A Structural Guide maps it end to end: venues and condition codes, latency and time, identity and reference data, entitlements and governance, and the new demands of machine consumption. Across twenty-three chapters it explains why datasets legitimately disagree, why precision is not truth, and why the cleaner data looks, the more interpretation has already occurred.

Written for the people who own the consequences - chief data officers, quantitative researchers, architects, vendors, and regulators - it is not an introduction to markets and not a technical manual. It assumes you already work with this material and have noticed that the standard explanations do not quite hold.

The book does not propose a correct version of market data. No such version exists. Its purpose is narrower and more useful: to make the hidden decisions visible again, so they can be examined rather than inherited.

- Tom Jordan, President & CEO, Jordan & Jordan; Advisory Chair, Financial Information Forum

Industry Reviews

"Dan understands market data the way few practitioners do - across the full lifecycle, from venue mechanics to institutional governance. This book is the rare distillation of that depth in a disciplined framework. Customers and counterparts in this industry have always benefited from his thinking. Now everyone else can."

- Tom Jordan, President & CEO, Jordan & Jordan; Advisory Chair, Financial Information Forum

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