US Futures Trade and Quote Minute Bar Guide

version 2.2 (Jul 2021)

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TABLE OF CONTENTS

INTRODUCTION        4

MINUTE BARS CALCULATIONS        4

DATA ORGANIZATION AND FILE FORMAT        5

INTRODUCTION

algoseek’s Futures, Spreads, and Futures Options Trade and Quote Minute Bar datasets contain high-quality intraday information-rich one-minute bar data for all securities listed on US exchanges. The data includes event-based bars designed for quantitative trading, backtesting, machine learning, and other advanced applications.

The contract specifications such as underlying asset, the quantity of the asset or contract size, expiration months, delivery location, and the delivery date upon execution can be found on the US futures products list, which is available on the following link: http://www.cmegroup.com/trading/products/.

MINUTE BARS CALCULATIONS

Event-based Bars

The volume of futures varies from contract to contract. Some contracts, for example, ES front month, have multiple events per millisecond, and some contracts don’t have any type of event (i.e. bid, ask, or trade) for 24 hours.

algoseek’s futures bars are event-based, which means a bar is only created when there is at least one event during a bar period. The three types of events (bid, ask, and trade) don’t always happen together during a bar period. For example, there could be three bids, but neither trades nor asks for a minute.

Implied Quotes and Calculated Trade Prices

There are Implied Bid and Ask Quotes for some futures based on spread relationships (e.g., Crude Oil CL futures). However, these are ignored when building the bars. Only real bid and ask quotes are included.

Some futures have calculated prices that are not based on actual trades, and these are not included in bars. Only trades of the actual futures are included.

Daily Halts and Breaks

If the specified futures contract has a daily break, you may see bars with the bid or ask events that the exchange published during the break period. For example, Silver Futures (SI) has a daily hour break from 4 pm to 5 pm  Central Time.

These bid or ask events are published by the exchange to indicate the expected price after the daily halt.

Minimum Quotes and Trades

A bar file is only created  if there is at least one of the following conditions apply within 24 hours:

• 3  or more quotes
• 1 or more trades

If there is only one type of event during the bar period, the event fields will have the same values. For example:

OpenBidPrice = HighBidPrice = LowBidPrice = CloseBidPrice

OpenBidSize = HighBidSize = LowBidSize = CloseBidSize

OpenBidTime = HighBidTime = LowBidTime = CloseBidTime

Bars are created only if there is a trade or quote event during the minute. For illiquid futures with no trades or quotes on a given trade date, there will be no bar data file. Some very illiquid futures may even not have any trades or quotes for weeks at a time.

DATA ORGANIZATION AND FILE FORMAT

algoseek provides Futures market data in plain-text CSV files. The first row of the CSV file is a fixed header, and then rows of data corresponding to individual events. By default, data is organized into one file per symbol per trading day. For example, all events for ticker ESH0 on Jan 28, 2020, are stored in one CSV file.

Due to the large data size, CSV files are gzip-compressed (having a csv.gz extension) with a compression ratio of about 8:1.

Table 1 below provides the name, base event, default value, brief description, and data type for each data field (column) in the Futures TAQ Minute Bar CSV file. Table column “Missing” indicates a default behavior in case the data field value is not present or cannot be calculated. The column value “Never” means that the data field value is always present.

Table 1: CSV File Fields Schema

Time Bar Start Format: One-second bar 13:03:02 is from a time greater than 13:03:01 to 13:03:02. One-minute bar 11:04 is from time greater than 11:04 to less than 11:05.

VolumeWeightPrice: the volume-weighted price is calculated as a sum of all individual trade volumes divided by the total number of shares traded

((Trade1_Shares x Trade1_Price) + (Trade2_Shares x Trade2_Price) + ...) / TotalShares

Timestamps

The timestamps are all in Coordinated Universal Time (UTC). However, each bar also includes fields “LocalDate” and “LocalTimeBarStart” in Chicago local time, which is in the Central Standard Time (CST) zone.

For example, an algoseek Futures timestamp of 181514415 is 18:15:14.415 UTC. During Daylight Saving Time this converts to 13:15:14.415 CST.

Given that UTC varies by five or six hours from Chicago local time, the “LocalDate” field can be different from the “UTCDate” field. Chicago Winter Time is UTC –6 hours, and Summer Daylight Saving Time (DST) is UTC –5 hours.

For example, UTCTimeBarStart time 01:30 (1:30 a.m. UTC) with UTC date 2017-08-15 will have LocalDate 2017-08-14, and LocalTimeBarStart 20:30 (8:30 p.m. CST) due to the 5-hour difference during Daylight Saving Time.

Note: Excel will automatically try to convert millisecond timestamps into Excel time and will fail. Please make sure to convert the millisecond timestamps to text when importing.