The U.S. Equities Trade-Only Second Bar (Excluding FINRA/TRF Trades) dataset provides a one-second summary of executed trades for U.S. exchange-listed equities, constructed exclusively from on-exchange trade activity. Each one-second interval includes Open, High, Low, Close, and Volume (OHLCV) metrics, along with VWAP and trade count, delivering a high-resolution intraday view of trading activity based solely on lit exchange executions. Off-exchange trades reported to FINRA Trade Reporting Facilities (TRF) are explicitly excluded, enabling clean isolation of exchange-driven price formation and volume. The dataset is derived from the consolidated Equity Securities Information Processor (SIP) trade feed and covers all public-traded U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.
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