Historical Bars

Equity and Futures Bars

AlgoSeek has the industry's most detailed historical bars with the enhanced Trades+Quote bars having 50+ fields giving the best bars in the industry for research, machine learning, deep learning and back testing. Bars are available as standard minute bars or custom time period with custom fields. Data bars include all hours the markets are open, for example with stocks this includes both pre-market and post-market.

Trade + Quote Bars

AlgoSeek's Trade + Quote based historical bars bars for Stock, ETF, ETN and Futures have 50+ separate fields with data in easy to use CSV format with fields including:

  • Millisecond timestamps for Open, Low, High, Close of Bid, Ask and Trades
  • Minimum and Maximum Spread
  • Volume Weighted Price
  • Trade at Bid, Ask or Midpoint
  • Total Trade Count
  • Quote Count
Available in minute bars or any custom bar time period.
Trade Only Bars

AlgoSeek's Trade Based historical bars for Stock, ETF, ETN and Futures have 14 separate fields including:

  • Open, High,Low, Close for Trades
  • Minimum and Maximum Spread
  • Total Volume
  • Total Trade Count
  • Buy and Sell Trade Count
Available in minute bars or any custom bar time period.
Custom Bars

AlgoSeek has built a cloud based parallel framework for processing vast amounts of historical data. Let AlgoSeek create the custom bars required for your research from the Trades + Quotes, Full Depth or Trade data. AlgoSeek can build custom bars of any time length with any data fields.
Contact Us to discuss your custom bar needs.