US Equities Trade and Quote Extended Minute Bar
US Equities Trade and Quote Extended Minute Bar
Production
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The US Equities Trade and Quote Minute Bar Extended dataset offers a comprehensive minute-by-minute analysis of market dynamics, encompassing close to 90 data points extracted from both quotes and exchange trades. 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. Notably, bar time is continuous. If there’s no activity during a particular minute, the bar seamlessly carries forward the previous bid/ask price, simplifying the process 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.
Dataset Info
CSV (S3)
Algoseek Dataset ID
US1034
Data Class
Equity
Dataset Name ID
eq_taq_1min_ext
Data Format
Market Data
Version
1.0
Time Granularity
Intraday Bar
Region
US
Data Type
1 Min 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
1.7 TB
Annual Size
127 GB / year
Update Size
509 MB
Start Date
01/01/2023
End Date
01/31/2023
Access Methods
SQL
Description
One month of data (Jan 2023) for the full universe of symbols
Included in Data Research Packages: