US Equities Trade and Quote
US Equities Trade and Quote
Production
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The U.S. Equities Trade and Quote (TAQ) dataset provides a complete, tick-level record of executed trades and level 1 bid/ask quotes for U.S. exchange-listed equity securities, as well as NBBO indicators, delivering a consolidated view of market activity across the U.S. equities ecosystem. The dataset is derived from the U.S. Securities Information Processor (SIP), also known as the Consolidated Feed, and includes data from Tape A and Tape B (CTA Plan) and Tape C (UTP Plan). It captures all trades and top-of-book quotes from all SIP participant exchanges and trading venues, covering common stocks, ETFs, ETNs, ADRs, and related equity instruments. Each trade and quote event is timestamped at nanosecond resolution and includes exchange identifiers, condition codes, and National Best Bid and Offer (NBBO) context, enabling precise reconstruction of market state and execution conditions. The dataset reflects raw consolidated feed data as disseminated, without post-processing or normalization, preserving historical market conditions for accurate replay, research, and analysis.
Dataset Info
SQL (ArdaDB)
CSV (S3)
Algoseek Dataset ID
US1032
Data Class
Equity
Dataset Name ID
eq_taq
Data Format
Market Data
Version
1.0
Time Granularity
Tick
Region
US
Data Type
Trade and Quote (TAQ)
Universe
All stocks, ETFs/ETNs from US exchanges
Update Frequencies
End of day
Start Date
2007-01-01
End Date
Ongoing
Update Frequency
1 Day
Total Size
59.2 TB
Annual Size
6 TB / year
Update Size
24 GB
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
Included in Data Research Packages: