US Equities Trade and Quote

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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.