US Futures Trade Only Second Bar
US Futures Trade Only Second Bar
Production
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The US Futures Trade 1-Second Bar is a data feed that provides aggregated trade event-based bars. It includes OHLC (Open, High, Low, Close) information based on trade events. As additional features, the dataset provides total dollar volume and total trades and statistical fields such as count of buy/sell aggressor trades which is useful for analysis of market behavior.
Dataset Info
Dataset Name ID
fut_trades_1sec
Algoseek Dataset ID
US6015
Data Format
Market Data
Data Class
Futures
Data Type
1 Sec Trades
Time Granularity
Intraday Bar
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
3.5 GB / year
Update Size
9.4 MB
Update Frequency
1 Day
Start Date
2012-01-01
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-futures-1sec-trades-yyyy
S3 Bucket Name
us-futures-1sec-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
2012
S3 End Year
N/A
S3 Bucket Size
3.3 GB / year
Sample Data File
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | Ticker | String | Symbol name for a specific s contract |
| 2 | UTCDate | String | UTC trade date |
| 3 | UTCTimeBarStart | String | For second bars, it is HH:MM:SS |
| 4 | LocalDate | String | Local trade date based on local Chicago time |
| 5 | LocalTimeBarStart | String | Local time in Chicago including daylight saving time changes |
| 6 | OpenPrice | Decimal | Price of the first trade |
| 7 | HighPrice | Decimal | Trade with the highest price |
| 8 | LowPrice | Decimal | Trade with the lowest price |
| 9 | ClosePrice | Decimal | Price of the last trade |
| 10 | TotalVolume | Decimal | Total Dollar Volume (sum of each trade's price * trade's contract size) |
| 11 | TotalQuantity | Integer | The number of contracts. The Total Quantity is not equal to the sum of BuyQuantity + SellQuantity when there are trades with undefined buy/sell side in the bar. |
| 12 | BuyQuantity | Integer | Number of contracts with 'Trade Aggressor on Buy' |
| 13 | SellQuantity | Integer | Number of contracts with 'Trade Aggressor on Sell' |
| 14 | TotalTradeCount | Integer | Total number of separate trades. The TotalTradeCount is not equal to the sum of BuyTradeCount + SellTradeCount when there are trades with undefined buy/sell side in the bar. |
| 15 | BuyTradeCount | Integer | Number of 'Trade Aggressor on Buy' trades |
| 16 | SellTradeCount | Integer | Number of 'Trade Aggressor on Sell' trades |