Data Feeds can be thought of as read-only lists (i.e. enumerables) which can represent anything such as the list of users in a session, a list of public joinable sessions, or the list of settings from your dash menu.
Currently you cannot create custom arbitrary data feeds. You can only use the ones which are provided as components.
To make use of them they must be combined with a view component such as Component:SingleFeedView and also a Component:DataFeedItemMapper to instantiate template slots for each data feed item in the data feed.
Normally these template slots are UIX but they don't have to be. Each template slot must have a feed interface component which matches the type of the expected data feed item (Component:FeedItemInterface is the most basic but will work for every data feed item) which allows the information from it to be written to fields in the world.
Most data feeds support searching using a search phrase (string). There is also the path which represents the path to view items from if applicable. The grouping keys (I think) can be used to filter items that are grouped using a certain key.