Market Data Types
Price history is only trustworthy once you understand trades, quotes, adjustment, and the biases that silently corrupt it.
Every price series is a constructed object. Raw market data comes as trades (time and sales) and quotes (order book state), and from quotes across venues the consolidated tape derives the NBBO, the best bid and offer. What you download is almost never raw: splits, dividends, and spin-offs force vendors to adjust history, and the adjustment method changes returns. Two biases then decide whether research is even valid: survivorship bias removes delisted names and flatters backtests, while point-in-time errors let you use index membership or restated fundamentals you could not actually have known. Mastering these distinctions is the prerequisite for everything built on top of the data.