US Equities Trade and Quote Minute Bar Excluding FINRA/TRF Trades

Production

·

Contact UsExplore in Console

The US Equities Trade and Quote Minute Bar Excluding FINRA/TRF Trades dataset provides a detailed minute-by-minute analysis of market dynamics, encompassing 60 data points extracted from both quotes and exchange trades. While it follows the same format as the US Equities Trade and Quote Minute Bar dataset, this version specifically excludes off-exchange trades reported to TRFs. This exclusion ensures a more transparent view of pure exchange trading activities.

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, 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.