US Equities Trade and Quote Daily Bar
US Equities Trade and Quote Daily Bar
Production
·
The U.S. Equities Trade and Quote Daily Bar dataset provides a daily, analytics-rich summary of market activity derived from consolidated trade and top-of-book quote (TAQ) data. It aggregates intraday TAQ information into a comprehensive set of 65 metrics, capturing both price formation and trading behavior. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a wide range of market microstructure statistics, such as buying and selling pressure indicators, spread and quote dynamics, exchange-level and FINRA-reported volume, and other trade- and quote-based analytics. These metrics are designed to characterize daily liquidity, order-flow imbalance, and trading intensity. The dataset is derived from Equity Securities Information Processor (SIP) data and covers all eligible trades and top-of-book quotes, including off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). Coverage spans all major U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.
Dataset Info
SQL (ArdaDB)
CSV (S3)
Algoseek Dataset ID
US1038
Data Class
Equity
Dataset Name ID
eq_taq_daily
Data Format
Market Data
Version
1.0
Time Granularity
Daily
Region
US
Data Type
End of Day
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
20.7 GB
Annual Size
1.9 GB / year
Update Size
7.4 MB
Start Date
01/01/2023
End Date
12/31/2023
Access Methods
SQL
Description
One year of data (2023) for the full universe of symbols
Included in Data Research Packages: