The U.S. Futures Trade and Quote Minute Bar dataset provides one-minute aggregated, event-based bar derived from intraday trade and quote (TAQ) activity for CME-listed futures contracts. Each one-minute interval contains 50+ analytical and statistical fields, including Open, High, Low, and Close (OHLC) values calculated using both trade executions and quote updates. In addition to standard OHLC measures, the dataset includes VWAP, minimum and maximum bid-ask spreads, and buy- and sell-side aggressor trade counts, enabling detailed analysis of liquidity, order-flow imbalance, and short-horizon futures market behavior. The dataset is constructed from consolidated futures TAQ data and is designed to support intraday futures analytics, execution research, and quantitative modeling, where both trade activity and quote dynamics are required at minute resolution.
Sample Data
Also Available in a Package
This dataset is also included in a package
Instead of buying datasets individually, the package puts everything your team needs in one subscription. One contract, one price, one place to manage access.
Futures Historical Research Package
$2,500/mo
no exchange fees on historical data
6 datasets including this one
Up to 10 users
ArdaDB and Sandbox included
Multi-Asset Historical Research Package
$5,000/mo
no exchange fees on historical data
60+ datasets including this one
Up to 10 users
ArdaDB and Sandbox included
Get Started
Explore this dataset in the Sandbox
Query the data, inspect the schema, and download samples. No credit card needed.