US Equities Trade and Quote Minute Bar

US Equities Trade and Quote Minute Bar
Production
·

Data Class

Equity

Data Type

1 Min TAQ

Delivery Method

CSV, SQL

Vendor

algoseek

Region

US

Documentation

Open Link

The US Equities Trade and Quote Minute Bar dataset offers a minute-by-minute analysis of market dynamics, capturing 60 data points derived from both trades and quotes. Beyond the standard open, high, low, close, and volume metrics, it also delves into intricate statistics like trade at bid/mid/ask, uptick, downtick, spread analysis, time-weighted bids/asks, and much more. Such granular insights make this dataset invaluable for algorithmic and quantitative trading, machine learning, market analysis, and academic research.

The dataset features continuous bar time, meaning that if no activity occurs during a minute, the previous bid/ask price is carried forward, simplifying processes for developers.

The information stems from equity SIP and covers all eligible quotes and trades, including off-exchange trades reported to TRF, from all issue types traded on U.S. public-exchanges like common stocks, ETFs, ETNs, ADRs, preferred stocks, warrants, units, and others. Data files are organized by date and ticker.

Browse by tags:

Minute Bar Trade and Quote OHLC Market Analytics Bid-Ask Spread Intraday Data Minute Level Market Dynamics
Dataset Info
Dataset Name ID
eq_taq_1min
Algoseek Dataset ID
US1033
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
 Introductory Demo Info
Start Date
01/01/2023
End Date
03/31/2023
Access Methods
SQL
Description
Three months of data (Jan. - March 2023) for the full universe of symbols
 Historical Info
Data Size
95.5 GB / year
Update Size
384 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
Update Time
01:30 ET
Database Table
USEquityMarketData.TradeAndQuoteMinuteBar
Database Schema
USEquityMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
BarDateTime
Internal ID Column
--
Identifier Column
Ticker
Data Fields
Preview Data
# name data type description
1 TradeDate Date The trading day
2 BarDateTime TimeStamp The timestamp of the bar start (EST)
3 Ticker String Symbol name
4 ASID Integer A unique identifier for a security
5 OpenBarTimeOffset Decimal Time of the bar open
6 OpenBidPrice Decimal The NBBO bid price as of the bar open
7 OpenBidSize Integer Total number of shares from all exchanges with OpenBidPrice
8 OpenAskPrice Decimal The NBBO ask price as of the bar open
9 OpenAskSize Integer Total number of shares from all exchanges with OpenAskPrice
10 FirstTradeTimeOffset Decimal Time of the first trade
11 FirstTradePrice Decimal Price of the first trade
12 FirstTradeSize Integer Number of shares of the first trade
13 HighBidTimeOffset Decimal Time of the highest NBBO bid price
14 HighBidPrice Decimal The highest NBBO bid price
15 HighBidSize Integer Total number of shares from all exchanges with HighBidPrice
16 HighAskTimeOffset Decimal Time of the highest NBBO ask price
17 HighAskPrice Decimal The highest NBBO ask price
18 HighAskSize Integer Total number of shares from all exchanges with HighAskPrice
19 HighTradeTimeOffset Decimal Time of the highest trade
20 HighTradePrice Decimal The highest trade price
21 HighTradeSize Integer Number of shares of the highest trade
22 LowBidTimeOffset Decimal Time of the lowest NBBO bid price
23 LowBidPrice Decimal The lowest NBBO bid price
24 LowBidSize Integer Total number of shares from all exchanges with LowBidPrice
25 LowAskTimeOffset Decimal Time of the lowest NBBO ask price
26 LowAskPrice Decimal The lowest NBBO ask price
27 LowAskSize Integer Total number of shares from all exchanges with LowAskPrice
28 LowTradeTimeOffset Decimal Time of the lowest trade
29 LowTradePrice Decimal The lowest trade price
30 LowTradeSize Integer Number of shares of the lowest trade
31 CloseBarTimeOffset Decimal Time of the bar close
32 CloseBidPrice Decimal The NBBO bid price as of bar close
33 CloseBidSize Integer Total number of shares from all exchanges with CloseBidPrice
34 CloseAskPrice Decimal The NBBO ask price as of bar close
35 CloseAskSize Integer Total number of shares from all exchanges with CloseAskPrice
36 LastTradeTimeOffset Decimal Time of last trade
37 LastTradePrice Decimal Price of last trade
38 LastTradeSize Integer Number of shares of last trade
39 MinSpread Decimal Minimum NBBO Bid-Ask spread size
40 MaxSpread Decimal Maximum NBBO Bid-Ask spread size
41 CancelSize Integer Total of number of shares canceled (when a previously reported trade is cancelled)
42 VolumeWeightPrice Decimal Volume-weighted average price excluding FINRA/TRF trades
43 NBBOQuoteCount Integer The number of Bid and Ask NNBO quotes during the bar period
44 TradeAtBid Integer Total trade volume at or below the bid price
45 TradeAtBidMid Integer Total trade volume between the bid and mid price
46 TradeAtMid Integer Total trade volume at the mid price
47 TradeAtMidAsk Integer Total trade volume between the mid and ask price
48 TradeAtAsk Integer Total trade volume at or above the ask price
49 TradeAtCrossOrLocked Integer Total trade volume when NBBO is locked or crossed
50 Volume Integer Total number of shares traded excluding FINRA/TRF reported trades
51 TotalTrades Integer Total number of trades
52 FinraVolume Integer Total number of shares traded reported by FINRA/TRF
53 FinraVolumeWeightPrice Decimal Volume-weighted average price from FINRA/TRF trades
54 UptickVolume Integer Total number of shares traded with upticks
55 DowntickVolume Integer Total number of shares traded with downticks
56 RepeatUptickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was up
57 RepeatDowntickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was down
58 UnknownTickVolume Integer When the first trade of the day takes place, the tick direction is "unknown" as there is no previous trade to compare it to
59 TradeToMidVolWeight Decimal The sum difference between each trade’s price and NBBO midpoint at the time of the trade weighted by volume
60 TradeToMidVolWeightRelative Decimal The sum difference between each trade’s price and NBBO midpoint at the time of the trade relative to the spread and weighted by volume
61 TimeWeightBid Decimal Time-weighted average price of the NBBO bid
62 TimeWeightAsk Decimal Time-weighted average price of the NBBO ask

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-taq-yyyy
Update Time
01:30 ET
S3 Bucket Path
yyyymmdd/s/sss.csv.gz
S3 Bucket Path Description
One csv.gz file per symbol per trading date where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol
S3 Start Year
2007
S3 End Year
N/A
S3 Bucket Size
95.9 GB / year
Sample Data File
AAPL data for Jan 28, 2020
Data Fields
Preview Data
# name data type description
1 Date String Trading date in yyyymmdd format
2 Ticker String Symbol name
3 TimeBarStart String Start time of the bar. For a minute bar, the format is HH:MM. For a second bar, the format is HH:MM:SS
4 OpenBarTime String Open Time of the Bar, for example, one minute bar: 11:03:00.000000000
5 OpenBidPrice Decimal NBBO Bid Price as of bar Open, (e.g. current price as of bar start)
6 OpenBidSize Integer Total Size from all exchanges with OpenBidPrice
7 OpenAskPrice Decimal NBBO Ask Price as of bar open (e.g. current price as of bar start)
8 OpenAskSize Integer Total Size from all Exchanges with NBBO OpenAskPrice
9 FirstTradeTime String Time of the first trade
10 FirstTradePrice Decimal Price of the first trade
11 FirstTradeSize Integer Number of shares of the first trade
12 HighBidTime String Time of highest NBBO bid price
13 HighBidPrice Decimal Highest NBBO bid price
14 HighBidSize Integer Total size from all exchanges with HighBidPrice
15 HighAskTime String Time of highest NBBO ask price
16 HighAskPrice Decimal Highest NBBO ask price
17 HighAskSize Integer Total size from all exchanges with HighAskPrice
18 HighTradeTime String Time of the highest trade
19 HighTradePrice Decimal Price of the highest trade
20 HighTradeSize Integer Number of shares of the highest trade
21 LowBidTime String Time of the lowest bid
22 LowBidPrice Decimal Lowest NBBO bid price of a bar
23 LowBidSize Integer Total Size from all exchanges with LowBidPrice
24 LowAskTime String Time of the lowest ask
25 LowAskPrice Decimal Lowest NBBO Ask price of a bar
26 LowAskSize Integer Total size from all exchanges with LowAskPrice
27 LowTradeTime String Time of the lowest trade
28 LowTradePrice Decimal Price of the lowest trade
29 LowTradeSize Integer Number of shares of the lowest trade
30 CloseBarTime String Close Time of the Bar, for example, one minute bar: 11:03:59.999999999
31 CloseBidPrice Decimal NBBO Bid Price at bar Close
32 CloseBidSize Integer Total Size from all exchanges with CloseBidPrice
33 CloseAskPrice Decimal NBBO Ask Price at bar Close
34 CloseAskSize Decimal Total Size from all exchanges with CloseAskPrice
35 LastTradeTime String Time of the last Trade
36 LastTradePrice Decimal Price of last Trade
37 LastTradeSize Integer Number of shares of last trade
38 MinSpread Decimal Minimum Bid-Ask spread size. This may be 0 if the market was crossed during the bar. If there is a negative spread due to back quote, make it zero
39 MaxSpread Decimal Maximum NBBO Bid-Ask spread in a bar
40 CancelSize Integer Total shares canceled
41 VolumeWeightPrice Decimal Trade Volume weighted average price excluding FINRA/TRF Trades. For FINRA reported trades see field 'FinraVolumeWeightPrice'. Note:Blank if no trades. Excludes FINRA reported trades.
42 NBBOQuoteCount Integer Number of Bid and Ask NNBO quotes during the bar period
43 TradeAtBid Integer Sum of trade volume that occurred at or below the bid (a trade reported/ printed late can be below the current bid)
44 TradeAtBidMid Integer Sum of trade volume that occurred between the bid and the midpoint: TradeAtBidMid = (Trade Price > NBBO Bid) & (Trade Price < NBBO Mid)
45 TradeAtMid Integer Sum of trade volume that occurred at mid. TradePrice = NBBO MidPoint
46 TradeAtMidAsk Integer Sum of ask volume that occurred between the mid and ask. TradeAtMidAsk = (Trade Price > NBBO Mid) & (Trade Price < NBBO Ask)
47 TradeAtAsk Integer Sum of trade volume that occurred at or above the Ask
48 TradeAtCrossOrLocked Integer Sum of trade volume for the bar when NBBO is locked or crossed. Locked is Bid = AskCrossed is Bid > Ask
49 Volume Integer Total number of shares traded ExcludingFINRA/TRF reported trades, see field 'FinraVolume' for FINRA trades. TotalVolume = Volume + FinraVolume
50 TotalTrades Integer Total number of trades
51 FinraVolume Integer Number of shares traded reported by FINRA/TRF. Trades reported by FINRA are from broker-dealer internalization, dark pools, over-the-counter, etc. FINRA trades represent volume that is hidden or not publicly available to trade
52 FinraVolumeWeightPrice Decimal FINRA Trade Volume weighted average price. Trades reported by FINRA are from broker-dealer internalization, dark pools, over-the-counter, etc. FINRA trades represent volume that is hidden or not publicly available to trade.
53 UptickVolume Integer Total number of shares traded with upticks during the bar. Uptick = (Trade Price > Last Trade Price)
54 DowntickVolume Integer Total number of shares traded with downticks during the bar. Downtick = (Trade Price < Last Trade Price)
55 RepeatUptickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was up during the bar. Repeat Uptick = (Trade Price == Last Trade Price) & (Last Tick Direction == Up)
56 RepeatDowntickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was down during the bar. Repeat Downtick = (Trade Price == Last Trade Price) & (Last Tick Direction == Down)
57 UnknownTickVolume Integer When the first trade of the day takes place, the tick direction is 'unknown' as there is no previous trade to compare it to. This field is the volume of the first trade after 4 AM and acts as an initiation value for the tick volume directions.Note: In the future, this bar will be renamed to UnknownTickVolume
58 TradeToMidVolWeight Decimal Indicator for the bar period showing the sum difference between each trades price and NBBO midpoint at the time of the trade weighted by volume. It returns a positive or negative number indicating buying or selling pressure.Note: Blank if no Trades. FINRA reported trades are not included
59 TradeToMidVolWeightRelative Decimal Indicator for the bar period showing the sum difference between each trades price and NBBO midpoint at the time of the trade relative to the spread and weighted by volume. It returns a positive or negative number indicating buying or selling pressure.Note: Blank if no trades.FINRA reported trades are not included.
60 TimeWeightBid Decimal Time-weighted average price of National Best Bid during the bar period
61 TimeWeightAsk Decimal Time-weighted average price of National Best Ask during the bar period