US Equities Trade and Quote Extended Second Bar
US Equities Trade and Quote Extended Second Bar
Production
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The US Equities Trade and Quote Second Bar Extended dataset provides a detailed second-by-second analysis of market activity, capturing nearly 90 data points from both quotes and exchange trades. Beyond standard metrics like open, high, low, close, and volume, it includes advanced statistics such as trade at bid/mid/ask, uptick and downtick analysis, spread analysis, and time-weighted bids/asks. These granular insights make the dataset indispensable for algorithmic and quantitative trading, machine learning, market analysis, and academic research. Notably, bar time is event-based. If there is no activity during a particular minute, the bar will not be created. 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.
Dataset Info
Dataset Name ID
eq_taq_1sec_ext
Algoseek Dataset ID
US1036
Data Format
Market Data
Data Class
Equity
Data Type
1 Sec TAQ
Time Granularity
Intraday Bar
Region
US
Universe
All stocks, ETFs/ETNs from US exchanges
Version
1.0
Update Frequency Options
End of day
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
Data Size
848 GB / year
Update Size
3.4 GB
Update Frequency
1 Day
Start Date
2009-01-01
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.
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.
us-equity-1sec-taq-ext-yyyy
S3 Bucket Name
us-equity-1sec-taq-ext-yyyy
Update Time
23:00 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
2009
S3 End Year
N/A
S3 Bucket Size
848 GB / year
Sample Data File
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:SS |
| 4 | OpenBarTime | String | Open time of the bar, for example: 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: 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 Excluding FINRA/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. |
| 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 |
| 62 | OddLotTradeCount | Integer | Number of Odd Lot trades during bar period. |
| 63 | OddLotTotalShares | Integer | Total number of Odd Lot shares traded during bar period. |
| 64 | TotalVolume | Integer | Total number of shares traded during the bar period from both Exchanges and off-exchange FINRA/TRF trades. |
| 65 | TotalQuoteCount | Integer | Total count top-of-book Bid and Ask from publicexchanges for bar period. |
| 66 | TotalVolumeWeightPrice | Integer | Trade Volume weighted average price for shares traded during bar period from both on the Exchanges and off-exchange FINRA/TRF trades. |
| 67 | TimeWeightSpread | Decimal | Spread during bar time weighted by time for each spread. TimeWeightSpread= sum(spread x / milliseconds) / observations. |
| 68 | SpreadValidTime | Integer | Total number of milliseconds during bar time that the spread was defined as valid for use in fields requiring a spread calculation |
| 69 | ExchangeTradeCount | Integer | Total number of trades on public exchanges for bar period. |
| 70 | FinraTradeCount | Integer | Total number of FINRA/TRF trades for bar period. |
| 71 | ExchangesBidCount | Integer | Number of Bids from top-of-book of all Public exchanges. Shows the number of times the Bid changed for all public exchanges. |
| 72 | ExchangesAskCount | Integer | Number of Asks from top-of-book of all Public exchanges. Shows the number of times Asks changed for all public exchanges. |
| 73 | VolumeWeightSpread | Decimal | Average bid/ask spread weighted by volumes of shares traded during the spread period. VolumeWeightSpread=sum((bid:ask spread) / (number of shares traded at this spread)) / observations |
| 74 | TimeWeightBidSize | Decimal | The time-weighted average size of National Best Bid during the bar period. TimeWeightBidSize=sum(bid size/bid time in milliseconds ) / observations. See the Bar Notes for the calculation |
| 75 | TimeWeightAskSize | Decimal | Time-weighted average size of National Best Ask during bar period. TimeWeightAskSize=sum(ask size / ask time in milliseconds ) / observations See the Bar Notes for the calculation |
| 76 | TradeAtBidCount | Integer | Sum of a number of trades that occurred at or below the bid (a trade reported/printed late can be below the current bid) |
| 77 | TradeAtBidMidCount | Integer | Sum of the number of trades that occurred between the bid and the midpoint: TradeAtBidMidCount = (Trade Price > NBBO Bid) & (Trade Price < NBBO Mid) |
| 78 | TradeAtMidCount | Integer | Sum of the number of trades that occurred at mid. TradePrice = NBBO MidPoint |
| 79 | TradeAtMidAskCount | Integer | Sum of the number of trades that occurred between the mid and ask. TradeAtMidAsk = (Trade Price > NBBO Mid) & (Trade Price < NBBO Ask) |
| 80 | TradeAtAskCount | Integer | Sum of a number of trades that occurred at orabove the Ask |
| 81 | TradeAtCrossOrLockedCount | Integer | Sum of the number of trades for the bar when NBBO is locked or crossed. Locked is Bid = Ask Crossed is Bid > Ask |
| 82 | PriorReferencePriceTradeCount | Integer | Number of trades during bar period with condition flag 'tPriorReferencePrice', a sale condition that identifies a trade based on a price at a prior point in time. |
| 83 | PriorReferencePriceTradeShares | Integer | Number of trades during bar period with condition flag 'tPriorReferencePrice', a sale condition that identifies a trade based on a price at a prior point in time. |
| 84 | VolumeWeightPriceExcludePRP | Decimal | VWAP price of all trades, but excluding with condition flag 'tPriorReferencePrice'. |
| 85 | VolumeWeightSpreadExcludePRP | Decimal | VWAP of Bid/Ask spread weighted by trade volume during spread period, but excluding trades with condition flag 'tPriorReferencePrice'. |
| 86 | RelativeSpreadAverage | Decimal | The Relative Spread is the Bid/Ask spread relative to the midpoint price at time t for a trade. It shows how wide the spread is compared to the price. For each minute, the average of the Relative Spreads for each trade is calculated |
| 87 | 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. Cumulative distribution created with percentage probabilities of 0:0.05:0.1: 0.20:0.40:0.60:0.80:0.90:0.95:1 |
| 88 | RetailTRFBuySize | String | Estimated number of shares that are Buy retail order flow. Retail trades are identified using TRF trades executed sub-penny within a specific range |
| 89 | RetailTRFSellSize | String | Estimated number of shares that are Sell retail order flow. Retail trades are identified using TRF trades executed sub-penny within a specific range |