US Equities Trade and Quote Daily Bar
US Equities Trade and Quote Daily Bar
Production
·
The US Equities Trade and Quote Daily Bar dataset offers a comprehensive daily analysis of market dynamics, encompassing 65 data points extracted from trades and top-of-book quotes. Beyond the standard open, high, low, close, and volume metrics, it also delves into intricate statistics like buying/selling pressure, spread analysis, exchange and FINRA volume, and much more. Such granular insights make this dataset invaluable for algorithmic and quantitative trading, machine learning, market analysis, and academic research. The dataset 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
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
EOD
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: