"Can we get the data?" is the wrong first question. Almost any feed can be bought. The questions that decide cost, risk and time to production are what you are allowed to do with it, whether you can trust it, and who will run it once it is live.
1. Requirements first
Write down what research and trading actually need before talking to vendors: instruments and venues, fields, depth of book, timestamp precision, history length, update latency and delivery format. Separate what live trading needs from what research needs. They are often different products with different prices.
2. Licensing and permissions
Market data licences distinguish between uses. The ESMA guidelines on MiFID II/MiFIR market data obligations set out how market data providers should publish their market data policies and price lists, distinguish display use (by people) from non-display use (by machines), and make pre-trade and post-trade transparency data available free of charge 15 minutes after publication. The guidelines are aimed at providers, but they tell users what to ask for.
Check that your licences cover every intended use:
- Research and back-testing
- Live trading and other non-display use
- Recording and storage
- Derived data
- Sharing with affiliates or clients
Unlicensed use tends to surface in a data audit, long after the system is built.
3. Quality you can prove
- Detect gaps, out-of-sequence messages and stale prices automatically.
- Handle corporate actions, symbology changes and holiday calendars explicitly.
- Preserve the raw data, version the processing, and make historical replay reproducible, so research results can be trusted and repeated.
4. Vendor due diligence
Treat claims about coverage, latency and history as claims until they are tested on your own instruments and in your own hours. Ask for sample data, test windows and the vendor's own monitoring evidence. Confirm support hours, incident processes and what happens when a venue changes its feed.
5. Architecture: one route from capture to use
Design capture, central storage and an access layer so that research and live trading draw on the same governed source. Duplicated, unofficial copies of data are where inconsistencies and licence breaches start.
6. Operations: who runs it
Decide before go-live who monitors feeds, who manages entitlements and usage declarations, who handles vendor incidents, and who controls cost as usage grows. Market data is a running service, not a one-off integration.
Where QTC helps
We define data requirements, run vendor due diligence and design the capture, storage and access architecture, with the operating model alongside. See our market-data and quant data strategy capability, or the China market-access case study for onboarding in practice.
This article is general information, not legal, regulatory or investment advice. Regulatory, compliance and tax matters should be confirmed with qualified advisers; QTC coordinates these workstreams with specialist partners.