US Futures Trade and Quote

US Futures Trade and Quote
Production
·

Data Class

Futures

Data Type

TAQ

Delivery Method

CSV, SQL

Vendor

algoseek

Region

US

Documentation

Open Link

The US Futures Trade and Quote dataset provides high-quality intraday trade and quote data with millisecond timestamps. It covers all futures contracts that are traded on US exchanges. One of the features of this feed is the trade aggressor flag that represents insights into who was the initiator of the trade. Another feature of the dataset is local dates and times (Chicago time zone, CT) included while the data is organized by UTC. Also, it includes exchange condition codes for trade and quote events which include additional information on each event.

Browse by tags:

Trade and Quote Tick Data Tick Level Millisecond Timestamps Exchange Condition Codes Trade Aggressor CME
Dataset Info
Dataset Name ID
fut_taq
Algoseek Dataset ID
US6011
Data Format
Market Data
Data Class
Futures
Data Type
TAQ
Time Granularity
Tick
Region
US
Universe
All symbols from US exchanges
Version
2.0
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
886 GB / year
Update Size
2.5 GB
Update Frequency
1 Day
Start Date
2016-01-01
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
04:00 ET
Database Table
USFuturesMarketData.TradeAndQuote
Database Schema
USFuturesMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
EventDateTime
Internal ID Column
--
Identifier Column
Ticker
Data Fields
Preview Data
# name data type description
1 TradeDate Date The trading day
2 EventDateTime TimeStamp Event timestamp (CST) with a nanosecond resolution
3 Ticker String Symbol name
4 BaseSymbol String Base product name
5 SecurityID Integer Internal security ID used by AlgoSeek
6 EventType String TypeMask field converted to text
7 Price Decimal The price of corresponding event
8 Quantity Integer Total number of contracts traded or quoted at this price
9 Orders Integer The number of orders currently in the marketplace (relates quotes only, 0 for trades)
10 Flags Integer A flag as bit mask for extra information about the message
11 TypeMask Integer This is the event type and it is an 8-bit mask

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-futures-taq-v2-yyyy
Update Time
04:00 ET
S3 Bucket Path
yyyymmdd/ss/ssmy.csv.gz
S3 Bucket Path Description
One csv.gz file per contract per trading date where yyyymmdd is year, month and day, ss - base future symbol (e.g. CL, ES), my is contract expiration date: m is the expiration month code and y is last digit of the expiration year
S3 Start Year
2016
S3 End Year
N/A
S3 Bucket Size
886 GB / year
Sample Data File
ESH0 data for Jan 28, 2020
Data Fields
Preview Data
# name data type description
1 UTCDate String Trading date in yyyymmdd format (UTC time)
2 UTCTime String Event timestamp in nanoseconds (milliseconds before 2016)
3 LocalDate String Trading date in yyyymmdd format (CT time)
4 LocalTime String Event timestamp in nanoseconds (milliseconds before 2016)
5 Ticker String Instrument name
6 CallPut String Option type (Call or Put) displayed as 'C' or 'P'.Note:available only in Future Options dataset
7 Strike Integer A fixed price for buying or selling underlying outright future contract.Note:available only in Future Options dataset
8 Month String A code for the expiration month for the option contract (as a single letter).Note:available only in Future Options dataset
9 ExpirationYear Integer The expiration year of the option contract.Note:available only in Future Options dataset
10 SecurityID String internal security ID used by algoseek
11 TypeMask Integer Not in use
12 Type String The type of event
13 Price Decimal The opening, trade, ask/bid, and settlement price depending on the type of event
14 Quantity Integer The total number of contracts traded or quoted at this price
15 Orders Integer The number of customer orders at the price level
16 Flags Integer Conditions applicable to the trade/quote