US Equities Trade and Quote
US Equities Trade and Quote
Production
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The algoseek US Equities Trade and Quote (TAQ) dataset is a crucial resource for hedge funds, market makers, and financial analysts, offering an in-depth view of the US Equities market. This dataset compiles all trades and bid/ask quotes for listed stocks, ETNs, ETFs, ADRs, and funds from more than 15 US exchanges and marketplaces, establishing itself as a vital tool for quantitative trading, backtesting, and machine learning applications. The data is collected from the Securities Information Processor (also known as the 'Consolidated Feed'), offering a comprehensive view of market activities throughout the entire trading session, including early and late hours. The consolidated Feed includes Tape A and Tape B covered by the Consolidated Tape Association (CTA) plan and Tape C covered by the Unlisted Trading Privileges (UTP) plan. The dataset serves as a reliable source for security price information, acting as a benchmark for determining the National Best Bid and Offer (NBBO). In order to provide the most realistic scenarios for clients to work with historical data, by default, we do not modify the data received live from exchanges.
Dataset Info
Dataset Name ID
eq_taq
Algoseek Dataset ID
US1032
Data Format
Market Data
Data Class
Equity
Data Type
TAQ
Time Granularity
Tick
Region
US
Universe
All stocks, ETFs/ETNs from US exchanges
Version
1.0
Update Frequency Options
End of day
Start Date
01/01/2023
End Date
03/31/2023
Access Methods
SQL
Description
Three months of data (Jan. - March 2023) for the full universe of symbols
Data Size
6 TB / year
Update Size
24 GB
Update Frequency
1 Day
Start Date
2007-01-01
End Date
Ongoing
SQL (ArdaDB)
Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
USEquityMarketData.TradeAndQuote
Update Time
01:00 ET
Database Table
USEquityMarketData.TradeAndQuote
Database Schema
USEquityMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
EventDateTime
Internal ID Column
--
Identifier Column
Ticker
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | TradeDate | Date | The trading day |
| 2 | EventDateTime | TimeStamp | Event timestamp (EST) with a nanosecond resolution (milliseconds before 2016) |
| 3 | EventType | String | The type of the trade/quote event |
| 4 | Ticker | String | Symbol name |
| 5 | ASID | Integer | A unique identifier for a security |
| 6 | Price | Decimal | The price of Bid, Ask, or Trade. Can be up to 4 decimal places for sub-penny prices |
| 7 | Quantity | Integer | The number of shares |
| 8 | Exchange | String | The exchange or reporting venue |
| 9 | ConditionCode | Integer | Condition flags applicable to the trade/quote encoded as unsigned int |
CSV (S3)
Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
us-equity-taq-yyyy
S3 Bucket Name
us-equity-taq-yyyy
Update Time
01:00 ET
S3 Bucket Path
yyyymmdd/s/sss.csv.gz
S3 Bucket Path Description
One csv.gz file per symbol per trading date where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol
S3 Start Year
2007
S3 End Year
N/A
S3 Bucket Size
6 TB / year
Sample Data File
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | Date | String | Trading date in yyyymmdd format |
| 2 | Timestamp | String | Event timestamp in nanoseconds (milliseconds before 2016) |
| 3 | EventType | String | The type of event |
| 4 | Ticker | String | Symbol name |
| 5 | Price | Decimal | The price of Bid, Ask, or Trade. It can be up to 4 decimal places for sub-penny prices. |
| 6 | Quantity | Integer | The number of shares. For some event types, this can be 0. |
| 7 | Exchange | String | The exchange or reporting venue |
| 8 | Conditions | Hexadecimal | Conditions applicable to the trade/quote |