US Equities Trade and Quote Extended Second Bar
US Equities Trade and Quote Extended Second Bar
Production
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The US Equities Trade and Quote Second Bar Extended dataset provides a detailed second-by-second analysis of market activity, capturing nearly 90 data points from both quotes and exchange trades. Beyond standard metrics like open, high, low, close, and volume, it includes advanced statistics such as trade at bid/mid/ask, uptick and downtick analysis, spread analysis, and time-weighted bids/asks. These granular insights make the dataset indispensable for algorithmic and quantitative trading, machine learning, market analysis, and academic research. Notably, bar time is event-based. If there is no activity during a particular minute, the bar will not be created. 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
US1036
Data Class
Equity
Dataset Name ID
eq_taq_1sec_ext
Data Format
Market Data
Version
1.0
Time Granularity
Intraday Bar
Region
US
Data Type
1 Sec TAQ
Universe
All stocks, ETFs/ETNs from US exchanges
Update Frequencies
End of day
Start Date
2009-01-01
End Date
Ongoing
Update Frequency
1 Day
Total Size
10.1 TB
Annual Size
848 GB / year
Update Size
3.4 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: