US Options Trade and Quote Continuous Minute Bar Guide

version 1.1 (Nov 2022)

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TABLE OF CONTENTS

INTRODUCTION        5

MINUTE BAR CALCULATIONS        5

DATA ORGANIZATION AND FILE FORMAT        7

APPENDIX A. FREQUENTLY ASKED QUESTIONS        12

INTRODUCTION

algoseek’s Trade and Quote (TAQ) Minute Bar dataset for US Options on Equity, ETF, ETN, and ADRs is based on the top-of-book quotes (bids and asks) and all trades from the Options Pricing Authority (OPRA) feed, which includes the consolidated last sale and quotation information from the 16 option exchanges that the Securities and Exchange Commission has approved.

All TAQ Minute Bar data files are organized into a single format feed where bars are ordered by time. The entire trading session includes market hours from 9:30:00 to 16:15:00 ET.

This version of the Options TAQ 1-minute bar dataset is continuous. This means that NBBO quotes are carried forward from the previous bars where possible (see subsections “Continuous Bars” and “Carrying Forward of Current NBBO Bid/Ask” in the next section “MINUTE BAR CALCULATIONS”).

MINUTE BAR CALCULATIONS

What’s Included

Quotes are calculated from the National Best Bid Offer (NBBO) using:

• Firm Quote Bid NB
• Firm Quote Ask NB
• Customer Trade Interest Bid NB
• Customer Trade Interest Ask NB
• No Quote Bid NB
• No Quote Ask NB

What’s Not Included

The bars do not include the following quote events:

• Open Interest
• Rotation Bid
• Rotation Ask
• Non Firm Quote

Please see the table below for the trade events that are excluded.

Table 1: Excluded Trades

Continuous Bars

Options activity varies from contracts with multiple events per millisecond (e.g. SPY in-the-money Options), to contracts without any bid or ask event during market hours.

algoseek’s options bars are continuous during market hours (up to 16:15:00 ET), which means there will always be a bar even if there are no events during the bar period. During pre- and post-market hours bars are event-based. It means a bar is only created when there was at least one event during the 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.

Carrying Forward of Current NBBO Bid/Ask

If there are no changes to the Bid/Ask in the NBBO during a bar period, the current NBBO Bid/Ask from the previous bar period will be carried forward and all Bid/Ask values will remain the same from Open to Close. For example:

OpenBidPrice = HighBidPrice = LowBidPrice = CloseBidPrice =  Current NBBO Bid price carried from the previous bar period

OpenBidSize = HighBidSize = LowBidSize = CloseBidSize =  Current NBBO Bid size carried from the previous bar period

OpenBidTime = HighBidTime = LowBidTime = CloseBidTime = Current NBBO Bid time carried from the previous bar period

Underlying Quote Event

Table 2 describes the logic for underlying security quotes.

Table 2. Underlying Bid/Ask of the First and Last Event

The bid/ask price is the NBBO price of the underlying asset at the millisecond time of the event.

DATA ORGANIZATION AND FILE FORMAT

algoseek provides Options market data in plain-text CSV files. Data files have fixed headers on top and rows of data corresponding to individual bars. Data is organized with one file per ticker per trading day per ticker and per option chain (ticker+expiration date).  It means, for example, that trade and quote bars for all the AAPL call and put options for every strike on the expiration date March 3, 2020 for trading date February 27, 2020 are consolidated in one file. Due to the large dataset size, each CSV file is gzip-compressed, so the uncompressed data is on average 7 times larger than compressed.

Table 3 below provides the name, base event, default value, a brief description, and data type for each data field (column) in the Options 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 3:  CSV File Fields Schema

Time Range

The data starts from the Open Interest publications by the exchanges at 9:30 to the last published information at 16:15 ET. Most options stop trading at 16:00 ET, while some indexes trade till 16:15 ET.

Timestamp

Event timestamp is in milliseconds, ET. The field format is HH:MM:SS.mmm where

HH: Hour

MM: Minute

SS: Seconds

mmm: Milliseconds

For example, 09:31:01.723

Bar Notes

Time Bar Start Format: One-second bar 13:03:01 is from 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.

Empty Fields: An empty field has no value and is shown as blank. For example, if there are no trades during the bar period, the field OpenTradeTime will be blank, but the field “Volume” measuring the total number of contracts traded in the bar will be “0”. Look at the “Missing” column above for each field to see if a field always has a value and if it will be zero or blank when there’s no value.

No Bid/Ask/Trade OHLC: During a bar timeframe, there may not be a change in the NBBO or an actual trade. For example, there can be a bar with open/high/low/close bid/ask but no trade open/high/low/close.

Single Event: For bars with only one trade, one NBBO bid, or one NBBO ask the open/high/low/close price, size and time will be the same.

VolumeWeightPrice: a volume-weighted price is calculated as a sum of a dollar volume for all trades divided by the total number of shares traded

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