Week 3 Session: Market Data Lab

A hands-on session with a real, anonymised slice of trade data — find where price and guide-price diverge, and be ready to explain why.

8 March 2027

Before the session#

Read Week 3’s lecture on matched-order books versus listing markets. Bring a laptop that can open a spreadsheet — the dataset is provided, not built by you.

In the session#

Marcus hands out a cleaned, anonymised trade-history slice (Grand-Exchange style guide prices alongside the underlying trades that produced them). Work in pairs to find where the two numbers disagree, and by how much.

• 10 minutes: orientation to the dataset’s columns
• 25 minutes: pair work finding and explaining divergences
• 15 minutes: two pairs present a finding to the room

Afterwards#

The close-reading habit this session builds — sitting with real trade data long enough to find where two numbers should agree and don’t — is the same habit the Market Data Report (due Week 4) needs, even though that report is looking for a faucet/sink imbalance (Week 2’s vocabulary) rather than this session’s price/guide-price divergence. The two mismatches aren’t the same thing; the discipline of hunting for one is.