US Equities Trade and Quote Extended Second Bar Excluding FINRA/TRF Trades

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The US Equities Trade and Quote Extended Second Bar Excluding FINRA/TRF Trades dataset offers a second-by-second analysis of market dynamics, encompassing close to 90 data points extracted from both quotes and exchange trades. While it follows the same format as the US Equities Trade and Quote Extended Second 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. 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 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.