How to buy data, the price to pay

Sometimes, it's obvious what you want to buy. If you go to a burger joint, you probably want to buy a burger, right? No one goes to a burger joint for a salad (or at least I don't). However, if we take a step back, what type of burger you'll order, depends on the place. Go to a Burger King, and it'll be a Whopper or some variant. If you go to some fancy burger place, there's going to be more options and the price will be higher too. But let's say you just want something to eat, and haven't stipulated we want a burger. Suddenly, the number of restaurants you could visit is going to be much higher and the choices of what you'll actually order is no longer simply restricted to burgers. You could have sushi, curry etc. pretty much any food available.

But what about when it comes to buying data, how does a buy side (or sell side firm) go about buying data? It's a question Alexander Denev and I wrote about in The Book of Alternative Data, and it's something we've been thinking about a lot recently, with Turnleaf Analytics, a new firm we co-founded to sell inflation forecast data for emerging markets. Read on, and I'll explain what burgers have got to do with understanding how much to pay for data if you're on the buy/sell side? (in the book, we also explain the cost of data from the perspective of a data vendor too)

The burger joint data case - more commoditised data

When it comes to buying data, you have many choices too. The first case (our burger case) is where you know what type of data you need and potentially it might be more commoditised. Let's say you want to backtest a trading strategy with high frequency data for FX. You'll be on the look out for high frequency tick market data to purchase. You'll go through the various providers of this data...

To read the rest of the article on the Cuemacro website, please click here!