US Options Trade and Top of Book Quote

US Options Trade and Top of Book Quote
Production
·

Data Class

Options

Data Type

TTOB

Delivery Method

CSV

Vendor

algoseek

Region

US

Documentation

Open Link

The US Equity Options Trade and Top-of-Book Quote provides high-quality intraday trade and top-of-book quote data with millisecond timestamps. It covers all options contracts that are traded on US OPRA exchanges. The dataset includes all trade events, the last NBBO, and the last top-of-book quotes from all exchanges for each trade. As a complementary data fields, it provides underlying price/size/time for bid/ask/trade.

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Intraday Data Tick Level Millisecond Timestamps Top of Book Quote OPRA Underlying Data
Dataset Info
Dataset Name ID
opt_ttob
Algoseek Dataset ID
US5015
Data Format
Market Data
Data Class
Options
Data Type
TTOB
Time Granularity
Tick
Region
US
Universe
All equity options contracts 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
229 GB / year
Update Size
917 MB
Update Frequency
1 Day
Start Date
2017-02-01
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-ttob-v2-yyyy
Update Time
23:30 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
229 GB / year
Sample Data File
AAPL data for Aug 2, 2023
Data Fields
Preview Data
# name data type description
1 Date String Trading date in yyyymmdd format (optional)
2 Timestamp String Event timestamp in milliseconds
3 Ticker String Symbol name
4 CallPut String Option type (Call or Put) displayed as 'C' or 'P'
5 StrikePrice Decimal Fixed price for buying or selling an option contract
6 ExpirationDate String Expiration date of option contract in yyyymmdd format
7 EventType String Byte code
8 Action String EventType and Side as text
9 Side String B (Buy) or S (Sell) side of the book. Empty field for trade events
10 Price Decimal Option contract pricing
11 Quantity Integer Underlying asset quantity
12 Exchange String Exchange code
13 Conditions String Single letter for trade or quote condition
14 LastNBBOBidTime String Time of the last option NBBO bid
15 LastNBBOBidExchange String Last option NBBO bid exchange code
16 LastNBBOBidPrice Decimal Price of the last option NBBO bid
17 LastNBBOBidSize Decimal Size of the last option NBBO bid
18 LastNBBOBidCondition String Last option NBBO bid condition
19 LastNBBOAskTime String Time of the last option NBBO ask
20 LastNBBOAskExchange String Last option NBBO ask exchange code
21 LastNBBOAskPrice Decimal Price of the last option NBBO ask
22 LastNBBOAskSize Decimal Size of the last option NBBO ask
23 LastNBBOAskCondition String Last option NBBO ask condition
24 ListQuoteExchange String List of exchanges for LastBid* and LastAsk* columns separated by a semicolon ';'
25 ListLastBidTime String List of last bid times for each exchange in the ListQuoteExchange column separated by a semicolon ';'
26 ListLastBidPrice Decimal List of last bid prices for each exchange in the ListQuoteExchange column separated by a semicolon ';'
27 ListLastBidSize Decimal List of last bid sizes for each exchange in the ListQuoteExchange column separated by a semicolon ';'
28 ListLastAskTime String List of last ask times for each exchange in the ListQuoteExchange column separated by a semicolon ';'
29 ListLastAskPrice Decimal List of last ask prices for each exchange in the ListQuoteExchange column separated by a semicolon ';'
30 ListLastAskSize Decimal List of last ask sizes for each exchange in the ListQuoteExchange column separated by a semicolon ';'
31 ListLastQuoteCondition String List of last quote conditions for each exchange in the ListQuoteExchange column separated by a semicolon ';'
32 ListLastBidCondition String List of last bid conditions for each exchange in the ListQuoteExchange column separated by a semicolon ';'
33 ListLastAskCondition String List of last ask conditions for each exchange in the ListQuoteExchange column separated by a semicolon ';'
34 UnderSymbol String Underlying symbol name
35 UnderBidTime String The bid time of the underlying security
36 UnderBidPrice Decimal The bid price of the underlying security
37 UnderBidSize String The bid size of the underlying security
38 UnderBidConditions String The bid conditions of the underlying security
39 UnderBidExchange String The bid exchange of the underlying security
40 UnderAskTime String The ask time of the underlying security
41 UnderAskPrice Decimal The ask price of the underlying security
42 UnderAskSize String The ask size of the underlying security
43 UnderAskConditions String The ask conditions of the underlying security
44 UnderAskExchange String The ask exchange of the underlying security
45 UnderLastTradeTime String The time of the last trade for the underlying security (nanosecond resolution) before the current trade. Empty if no trade price is available
46 UnderLastTradePrice String The last trade price for the underlying security before the current trade. Empty if no trade price is available
47 UnderLastTradeSize String The size of the last trade for the underlying security before the current trade. Empty if no trade price is available
48 UnderLastTradeConditions String The conditions of the last trade for the underlying security before the current trade. Empty if no tradeprice is available
49 UnderLastTradeExchange String The exchange of the last trade for the underlying security before the current trade. Empty if no trade price is available
50 UnderTotalTradeSize String The total trade size of the last trade for the underlying security before the current trade. Empty if no trade price is available
51 UnderTotalTradeCount String The total trade count of the last trade for the underlying security before the current trade. Empty if no trade price is available