US Equities Trade and Quote Minute Bar

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The US Equities Trade and Quote Minute Bar dataset offers a minute-by-minute analysis of market dynamics, capturing 60 data points derived from both trades and quotes. Beyond the standard open, high, low, close, and volume metrics, it also delves into intricate statistics like trade at bid/mid/ask, uptick, downtick, spread analysis, time-weighted bids/asks, and much more. Such granular insights make this dataset invaluable for algorithmic and quantitative trading, machine learning, market analysis, and academic research.

The dataset features continuous bar time, meaning that if no activity occurs during a minute, the previous bid/ask price is carried forward, simplifying processes for developers.

The information stems from equity SIP and covers all eligible quotes and trades, including off-exchange trades reported to TRF, from all issue types traded on U.S. public-exchanges like common stocks, ETFs, ETNs, ADRs, preferred stocks, warrants, units, and others. Data files are organized by date and ticker.