US Futures Trade Only
US Futures Trade Only
Production
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The US Futures Trade Only dataset provides high-quality intraday trade data with millisecond timestamps. It is part of the trade and quote feed where quote-related events are filtered. 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.
Dataset Info
Dataset Name ID
fut_trades
Algoseek Dataset ID
US6013
Data Format
Market Data
Data Class
Futures
Data Type
Trades
Time Granularity
Tick
Region
US
Universe
All symbols 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
8.2 GB / year
Update Size
23.6 MB
Update Frequency
1 Day
Start Date
2010-01-01
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.
USFuturesMarketData.TradeOnly
Update Time
04:00 ET
Database Table
USFuturesMarketData.TradeOnly
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.
us-futures-trades-yyyy
S3 Bucket Name
us-futures-trades-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
2010
S3 End Year
N/A
S3 Bucket Size
8.2 GB / year
Sample Data File
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, and settlement price depending on the type of event |
| 14 | Quantity | Integer | The total number of contracts traded at this price |
| 15 | Orders | Integer | The number of customer orders at the price level |
| 16 | Flags | Integer | Conditions applicable to the trade |