US Options Continious Trade and Quote Minute Bar

US Options Continious Trade and Quote Minute Bar
Production
·

Data Class

Options

Data Type

1 Min TAQ

Delivery Method

CSV

Vendor

algoseek

Region

US

Documentation

Open Link

The US Equities Options Trade and Quote 1-Minute Bar dataset represents aggregated event-based bars with 59 analytical and statistical data fields. Bars are continuous inside the regular market hours (9:30:00 to 16:15:00 ET), and quotes are carried forward from previous minutes. It includes OHLC (Open, High, Low, Close) information based on both trade and quote events. Also, it provides such analytical fields as VWAP, minimum and maximum bid-ask spreads; and statistical fields such as count of NBBO quotes, number of trade events that happened on bid/mid/ask prices, etc., which is useful for analysis of market behavior. The dataset includes underlying quote events at the opening and closing of the bar. Such granular insights make this dataset invaluable for algorithmic and quantitative trading, machine learning, market analysis, and academic research.

Browse by tags:

Minute Bar Trade and Quote OHLC Market Analytics Bid-Ask Spread Minute Level Continuous Data Statistical Data
Dataset Info
Dataset Name ID
opt_ctaq_1min
Algoseek Dataset ID
US5003
Data Format
Market Data
Data Class
Options
Data Type
1 Min TAQ
Time Granularity
Intraday Bar
Region
US
Universe
All equity options contracts 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
4 TB / year
Update Size
16.2 GB
Update Frequency
1 Day
Start Date
2020-01-01
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
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.
Delivery Info
S3 Bucket Name
us-options-1min-ctaq-yyyy
Update Time
03:00 ET
S3 Bucket Path
yyyymmdd/s/sss/sss.expdate.csv.gz
S3 Bucket Path Description
One csv.gz file per ticker, trading day and contract expiration date where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol, expdate is the contract expiration date in yyyymmdd format
S3 Start Year
2017
S3 End Year
N/A
S3 Bucket Size
4 TB / 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 TimeBarStart String Start Time of the Bar. For minute bar format is HH:MM. For second bar format is HH:MM:SS.
3 Ticker String Symbol name
4 CallPut String Option type (Call or Put) displayed as 'C' or 'P'
5 Strike Decimal Fixed price for buying or selling an option contract
6 ExpirationDate String Expiration date of option contract in yyyymmdd format
7 OpenBidTime String Time of the NBBO bid price as of bar open
8 OpenBidPrice Decimal NBBO bid price as of bar open, (e.g. current price as of bar start)
9 OpenBidSize Integer Open bid size
10 OpenAskTime String Time of the NBBO ask price as of bar open
11 OpenAskPrice Decimal NBBO ask price as of bar open, (e.g. current price as of bar start)
12 OpenAskSize Integer Open ask size
13 OpenTradeTime String Time of the first trade
14 OpenTradePrice Decimal Price of the first trade
15 OpenTradeSize Integer Number of contracts of the first trade
16 HighBidTime String Time of highest NBBO bid price
17 HighBidPrice Decimal The highest NBBO bid price
18 HighBidSize Integer Size of the highest bid price
19 HighAskTime String Time of the highest NBBO ask price
20 HighAskPrice Decimal The highest NBBO ask price
21 HighAskSize Integer Size of the highest ask price
22 HighTradeTime String Time of the highest trade
23 HighTradePrice Decimal Price of the highest trade
24 HighTradeSize Integer Number of contracts of the highest trade
25 LowBidTime String Time of the lowest bid
26 LowBidPrice Decimal The lowest NBBO bid price of bar
27 LowBidSize Integer The lowest bid size
28 LowAskTime String Time of the lowest ask
29 LowAskPrice Decimal The lowest NBBO ask price of bar
30 LowAskSize Integer The lowest ask size
31 LowTradeTime String Time of the lowest trade
32 LowTradePrice Decimal Price of the lowest trade
33 LowTradeSize Integer The lowest trades number of contracts
34 CloseBidTime String Time of the NBBO bid price as of bar close
35 CloseBidPrice Decimal NBBO bid price at bar close
36 CloseBidSize Integer Size of the last bid
37 CloseAskTime String Time of the NBBO ask price as of bar close
38 CloseAskPrice Decimal NBBO price of the last ask
39 CloseAskSize Integer Size of the last ask
40 CloseTradeTime String Time of the last trade
41 CloseTradePrice Decimal Price of the last trade
42 CloseTradeSize Integer Number of contracts of the last trade
43 UnderOpenBidPrice Decimal Underlying security NBBO bid price at millisecond time of the open bar
44 UnderOpenAskPrice Decimal Underlying security NBBO ask price at millisecond time of the open bar.
45 UnderCloseBidPrice Decimal Underlying security NBBO bid price at millisecond time of the close bar.
46 UnderCloseAskPrice Decimal Underlying security NBBO ask price at millisecond time of the close bar.
47 MinSpread Decimal Minimum bid-ask spread size. This may be 0 if the market was crossed during the bar. Note: This requires both a bid and an ask quote during the bar period.
48 MaxSpread Decimal Maximum bid-ask spread in a bar. Note: This requires both a bid and an ask quote during the bar period.
49 CancelSize Integer The total number of reported contracts canceled during this bar. The canceled trades may have occurred at any time since the open.
50 VolumeWeightPrice Decimal Trade Volume weighted average price.
51 NBBOQuoteCount Integer The number of bid and ask NBBO quotes during the bar period.
52 TradeAtBid Integer Sum of the number of contracts that occurred at or below the bid (a trade reported/printed late can be below current bid).
53 TradeAtBidMid Integer Sum of the number of contracts that occurred between the bid and the mid-point: (Trade Price > NBBO Bid) & (Trade Price < NBBO Mid)
54 TradeAtMid Integer Sum of the number of contracts that occurred at the mid. TradePrice = NBBO MidPoint
55 TradeAtMidAsk Integer Sum of the number of contracts that occurred between the mid and the ask: (Trade Price > NBBO Mid) & (Trade Price < NBBO Ask)
56 TradeAtAsk Integer Sum of the number of contracts that occurred at or above the ask.
57 TradeAtCrossOrLocked Integer Sum of the number of contracts during the bar period when national best bid/offer is locked or crossed. Locked is when bid = ask, Crossed is when bid > ask
58 Volume Integer Total number of contracts traded
59 TotalTrades Integer Total number of trades
60 FinraVolume Integer Number of contracts traded off the public exchanges and these are reported as FINRA