The U.S. Equities Trade and Quote Daily Bar dataset provides a daily, analytics-rich summary of market activity derived from consolidated trade and top-of-book quote (TAQ) data. It aggregates intraday TAQ information into a comprehensive set of 65 metrics, capturing both price formation and trading behavior. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a wide range of market microstructure statistics, such as buying and selling pressure indicators, spread and quote dynamics, exchange-level and FINRA-reported volume, and other trade- and quote-based analytics. These metrics are designed to characterize daily liquidity, order-flow imbalance, and trading intensity. The dataset is derived from Equity Securities Information Processor (SIP) data and covers all eligible trades and top-of-book quotes, including off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). Coverage spans all major U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.
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