How does "Stock Trading Softwares" connect to the stock exchange's real time data?

Question

Does the exchange gives access to the software to come and read the real time data. And inreturn exchange gets buying and selling information of a particular customer using the software....... ???? ^_^

Answer 1

The exchanges offer this stream for a charge.  Vendors can subscribe to this stream by paying this amount.

Answer 2

The exchange charges a fee to supply real time data.

Answer 3

The exchange sells its data to approved vendors who provide certain certain services to their clients

The Exchange does not take information in return as to who is buying/selling, since all trades must go through a brokerage firm, who has reporting requirements.  

The exchange captures, nor request,  any information about individual customers using any data that it supplies to their approved vendors/

Answer 4

The exchange aggregates data through to brokers and marketmakers, they in turn feed the data through to customers (though they of course need speific licensing to do so)

The exchange itself can see *all* trades anyway because it's their job to manage them, naturally, the individuals privy to that information can't actually utilise it.

To add a little bit more detail (NASDAQ specific):

Level I is the basic bid/offer spread of a quoted stock.

Level II is the bid/offer display of the entire market - it shows all entered limt orders and what MMs/ECNs are dealing at.

Level III is what the MarketMakers have, they see complete depth but also have the ability to set their own prices and complete orders.