US Equities Buy/Sell Pressure and Retail Indicators Minute Bar

US Equities Buy/Sell Pressure and Retail Indicators Minute Bar
Production
·

Data Class

Equity

Data Type

1 Min TAQ

Delivery Method

CSV

Vendor

algoseek

Region

US

Documentation

Open Link

The US Equities Buy/Sell Pressure and Retail Indicators Minute Bar dataset covers the full universe for listed stocks, ETNs, ETFs, ADRs, and funds. While identifying retail trades in Trade and Quote (TAQ) pricing data, can be challenging, some indicators can be used to identify whether a trade is retail with high probability. For example, trade size, trade price, or the exchange where the trade happened can provide some information to identify retail trades. The data feed provides a list of retail indicators and other analytics that can be helpful in such analysis.

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Minute Bar Market Analytics Minute Level Retail Indicators Buy/Sell Pressure Retail Trades Market Sentiment
Dataset Info
Dataset Name ID
eq_ret_indic_1min
Algoseek Dataset ID
US1052
Data Format
Market Data
Data Class
Equity
Data Type
1 Min TAQ
Time Granularity
Intraday Bar
Region
US
Universe
All stocks, ETFs/ETNs from US exchanges
Version
1.0
Update Frequency Options
End of day
 Historical Info
Data Size
42 GB / year
Update Size
177 MB
Update Frequency
1 Day
Start Date
2007-01-01
End Date
Ongoing

SQL (ArdaDB)

Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
Delivery Info
Data Fields
Preview Data
# name data type description

CSV (S3)

Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
Delivery Info
S3 Bucket Name
us-equity-1min-retail-indicators-yyyy
Update Time
01:00 ET
S3 Bucket Path
yyyymmdd/s/sss.csv.gz
S3 Bucket Path Description
One csv.gz file per ticker per trading day
S3 Start Year
2007
S3 End Year
N/A
S3 Bucket Size
42 GB / year
Sample Data File
Sample data for AAPL for Jan 8, 2025
Data Fields
Preview Data
# name data type description
1 TradeDate String Trading date in yyyymmdd format
2 Ticker String Symbol name
3 TimeBarStart String Start time of the bar in HH:MM format
4 OpenBarTime String Open time of the bar in HH:MM:00.000000000
5 MaxSpread Decimal Maximum NBBO Bid-Ask spread in a bar
6 ExchangeVolume Integer Share volume on public exchanges only
7 FinraVolume Integer Number of shares traded reported by FINRA/TRF
8 TotalVolume Integer Total number of shares traded during the bar period from both public exchanges and off-exchange FINRA/TRF trades
9 TotalTrades Integer Total number of trades
10 TotalQuoteCount Integer Total count top-of-book Bid and Ask from public exchanges for bar period
11 ExchangeTradeCount Integer Total number of trades on public exchanges for bar period
12 FinraTradeCount Integer Total number of FINRA/TRF trades for bar period
13 OddLotTradeCount Integer Total number of Odd Lot trades during the bar period from public exchanges only
14 OddLotTotalShares Integer Total number of Odd Lot shares traded during the bar period from public exchanges only
15 RelativeSpreadAverage Decimal The Relative Spread is the Bid/Ask spread relative to the midpoint price at time t for a trade
16 TradeCumulDistributionToBid String Cumulative distribution volume of Trade price relative to the Bid during the bar period with 0 being trade at Bid and 1 being trade at Ask
17 RetailTRFBuySize Integer Estimated number of shares that are Buy retail TRF order flow. That is trades outside of public exchanges reported as TRF. Retail trades are identified using trades executed sub-penny within a specific range
18 RetailTRFSellSize Integer Estimated number of shares that are Sell retail TRF order flow. That is trades outside of public exchanges reported as TRF. Retail trades are identified using trades executed sub-penny within a specific range
19 RetailOddLotBuySize Integer Estimated number of shares that are Buy retail order flow. Retail trades are identified using odd lot trades executed at a price on a specific side of the midpoint on public exchanges
20 RetailOddLotSellSize Integer Estimated number of shares that are Sell retail order flow. Retail trades are identified using odd lot trades executed at a price on a specific side of the midpoint on public exchanges
21 TRFRetailPress Decimal The metric measures the proportion of TRF retail trades’ size to the total market volume
22 OddLotPress Decimal The metric measures the proportion of odd lot (on public exchanges) trades’ size to the total market volume
23 TRFRetailOddLotPress Decimal The metric measures the proportion of TRF retail plus odd lot (on public exchanges) trades’ size to the total market volume
24 OddLotTRFRetailRatio Decimal This metric measures the odd lot (on public exchanges) volume compared to the total TRF retail plus odd lot (on public exchanges) volume
25 TRFRetailBuySellRatio Decimal This metric measures the TRF retail buy size to the TRF retail sell size
26 OddLotBuySellRatio Decimal This metric measures the odd lot (on public exchanges) buy size to the odd lot (on public exchanges) sell size
27 TRFRetailOddLotBuySellRatio Decimal This metric measures the TRF retail plus odd lot (on public exchanges) buy size to the TRF retail plus odd lot (on public exchanges) sell size
28 RelNetTRFRetailFlow Decimal The metric measures the relative net difference between TRF retail buy and sell sizes to total TRF retail volume
29 RelNetOddLotFlow Decimal The metric measures the relative net difference between odd lot (on public exchanges) buy and sell sizes to the total odd lot (on public exchanges) volume
30 RelNetTRFRetailOddLotFlow Decimal The metric measures the relative net difference between TRF retail plus odd lot (on public exchanges) buy and sell sizes to the total TRF retail plus odd lot (on public exchanges) volume
31 TRFRetImbalance Decimal This metric highlights the imbalance between TRF retail buy and sell sizes
32 OddLotImbalance Decimal This metric highlights the imbalance between odd lot (on public exchanges) buy and sell sizes
33 TRFRetOddLotImbalance Decimal This metric highlights the imbalance between TRF retail plus odd lot (on public exchanges) buy and sell sizes
34 TRFRetSentiment Decimal A sentiment indicator that measures TRF retail pressure cycles based on buy/sell imbalances
35 OddLotSentiment Decimal A sentiment indicator that measures odd lot (on public exchanges) pressure cycles based on buy/sell imbalances
36 TRFRetOddLotSentiment Decimal A sentiment indicator that measures TRF retail plus odd lot (on public exchanges) pressure cycles based on buy/sell imbalances