US Equities Trade and Quote Daily Bar

US Equities Trade and Quote Daily Bar
Production
·

Data Class

Equity

Data Type

EOD

Delivery Method

CSV, SQL

Vendor

algoseek

Region

US

Documentation

Open Link

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.

Browse by tags:

Trade and Quote OHLC Market Analytics Daily Spread Analysis Exchange Volume FINRA Volume
Dataset Info
Dataset Name ID
eq_taq_daily
Algoseek Dataset ID
US1038
Data Format
Market Data
Data Class
Equity
Data Type
EOD
Time Granularity
Daily
Region
US
Universe
All stocks, ETFs/ETNs from US exchanges
Version
1.0
Update Frequency Options
End of day
 Introductory Demo Info
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
 Historical Info
Data Size
1.9 GB / year
Update Size
7.4 MB
Update Frequency
1 Day
Start Date
2007-01-01
End Date
Ongoing

SQL (ArdaDB)

Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
Delivery Info
Update Time
01:30 ET
Database Table
USEquityMarketData.DailyTradeAndQuote
Database Schema
USEquityMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
--
Internal ID Column
ASID
Identifier Column
Ticker
Data Fields
Preview Data
# name data type description
1 TradeDate Date The trading day
2 Ticker String Symbol name
3 ASID Integer A unique identifier for a security
4 Name String Company name
5 PrimaryExchange String The Primary listing exchange on this trading day
6 ISIN String International Securities Identification Number
7 OpenBidPrice Decimal The NBBO bid price as of the bar open
8 OpenBidSize Integer Total number of shares from all exchanges with OpenBidPrice
9 OpenAskPrice Decimal The NBBO ask price as of the bar open
10 OpenAskSize Integer Total number of shares from all exchanges with OpenAskPrice
11 OpenTradePrice Decimal Price of the first trade
12 OpenTradeSize Integer Number of shares of the first trade
13 OpenTradeTime TimeStamp Time of the first trade
14 HighBidPrice Decimal The highest NBBO bid price
15 HighBidSize Integer Total number of shares from all exchanges with HighBidPrice
16 HighBidTime TimeStamp Time of highest NBBO bid price
17 HighAskPrice Decimal The highest NBBO ask price
18 HighAskSize Integer Total number of shares from all exchanges with HighAskPrice
19 HighAskTime TimeStamp Time of highest NBBO ask price
20 HighTradePrice Decimal The highest trade price
21 HighTradeTime TimeStamp Time of the highest trade
22 LowBidPrice Decimal The lowest NBBO bid price
23 LowBidSize Integer Total number of shares from all exchanges with LowBidPrice
24 LowBidTime TimeStamp Time of the lowest NBBO bid price
25 LowAskPrice Decimal The lowest NBBO ask price
26 LowAskSize Integer Total number of shares from all exchanges with LowAskPrice
27 LowAskTime TimeStamp Time of the lowest NBBO ask price
28 LowTradePrice Decimal The lowest trade price
29 LowTradeTime TimeStamp Time of the lowest trade
30 CloseBidPrice Decimal The NBBO bid price as of bar close
31 CloseBidSize Integer Total number of shares from all exchanges with CloseBidPrice
32 CloseAskPrice Decimal The NBBO ask price as of bar close
33 CloseAskSize Integer Total number of shares from all exchanges with CloseAskPrice
34 CloseTradePrice Decimal Price of last Trade
35 CloseTradeSize Integer Number of shares of last trade
36 CloseTradeTime TimeStamp Time of the last Trade
37 MinSpread Decimal Minimum NBBO Bid-Ask spread size
38 MaxSpread Decimal Maximum NBBO Bid-Ask spread size
39 CancelSize Integer Total of number of shares canceled (when a previously reported trade is cancelled)
40 NBBOQuoteCount Integer The number of Bid and Ask NNBO quotes during the bar period
41 TradeAtBid Integer Total trade volume at or below the bid price
42 TradeAtBidMid Integer Total trade volume between the bid and mid price
43 TradeAtMid Integer Total trade volume at the mid price
44 TradeAtMidAsk Integer Total trade volume between the mid and ask price
45 TradeAtAsk Integer Total trade volume at or above the ask price
46 TradeAtCrossOrLocked Integer Total trade volume when NBBO is locked or crossed
47 ListedMarketHoursVolume Integer A trading volume during regular market hours on public listed exchanges
48 ListedMarketHoursTrades Integer A total number of trades during regular market hours on public listed exchanges
49 ListedTotalVolume Integer A trading volume for the whole day on public listed exchanges
50 ListedTotalTrades Integer A total number of trades for the whole day on public listed exchanges
51 FinraMarketHoursVolume Integer FINRA/TRF trading volume during regular market hours
52 FinraMarketHoursTrades Integer A total number of FINRA/TRF trades during regular market hours
53 FinraTotalVolume Integer FINRA/TRF trading volume for the whole day
54 FinraTotalTrades Integer A total number of FINRA/TRF trades for the whole day
55 UptickVolume Integer Total number of shares traded with upticks
56 DowntickVolume Integer Total number of shares traded with downticks
57 RepeatUptickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was up during the bar
58 RepeatDowntickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was down during the bar
59 UnknownTickVolume Integer When the first trade of the day takes place, the tick direction is "unknown" as there is no previous trade to compare it to
60 MarketVWAP Decimal Volume-weighted average price during regular market hours plus the Opening and Closing Cross
61 DailyVWAP Decimal Volume-weighted average price for the whole day
62 TradeToMidVolWeight Decimal The sum difference between each trade’s price and NBBO midpoint at the time of the trade weighted by volume
63 TradeToMidVolWeightRelative Decimal The sum difference between each trade’s price and NBBO midpoint at the time of the trade relative to the spread and weighted by volume
64 TimeWeightBid Decimal Time-weighted average price of the NBBO bid
65 TimeWeightAsk Decimal Time-weighted average price of the NBBO ask

CSV (S3)

Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
Delivery Info
S3 Bucket Name
us-equity-daily-taq-tradedate-yyyy
Update Time
01:30 ET
S3 Bucket Path
yyyymmdd.csv
S3 Bucket Path Description
One csv file per trading day where yyyymmdd is year, month and day
S3 Start Year
2007
S3 End Year
N/A
S3 Bucket Size
1.9 GB / year
Sample Data File
Daily data for Jan 28, 2020
Data Fields
Preview Data
# name data type description
1 SecId Integer algoseek unique Security ID
2 TradeDate String Trading date in yyyymmdd format
3 Ticker String Symbol name
4 Name String Name of equity security
5 PrimaryExchange String Primary listing exchange on this TradeDate
6 ISIN String ISIN as of this trade date. Optional.
7 OpenBidPrice Decimal NBBO Bid Price as of bar Open, (e.g. current price as of bar start)
8 OpenBidSize Integer Total Size from all exchanges with OpenBidPrice
9 OpenAskPrice Decimal NBBO Ask Price as of bar open (e.g. current price as of bar start)
10 OpenAskSize Integer Total Size from all Exchanges with NBBO OpenAskPrice
11 OpenTradePrice Decimal Price of the first trade
12 OpenTradeSize Integer Number of shares of the first trade
13 OpenTradeTime String Time of the first trade
14 HighBidPrice Decimal Highest NBBO bid price
15 HighBidSize Integer Total size from all exchanges with HighBidPrice
16 HighBidTime String Time of highest NBBO bid price
17 HighAskPrice Decimal Highest NBBO ask price
18 HighAskSize Integer Total size from all exchanges with HighAskPrice
19 HighAskTime String Time of highest NBBO ask price
20 HighTradePrice Decimal Price of the highest trade
21 HighTradeTime String Time of the highest trade
22 LowBidPrice Decimal Lowest NBBO bid price of a bar
23 LowBidSize Integer Total Size from all exchanges with LowBidPrice
24 LowBidTime String Time of the lowest bid
25 LowAskPrice Decimal Lowest NBBO Ask price of a bar
26 LowAskSize Integer Total size from all exchanges with LowAskPrice
27 LowAskTime String Time of the lowest ask
28 LowTradePrice Decimal Price of the lowest trade
29 LowTradeTime String Time of the lowest trade
30 CloseBidPrice Decimal NBBO Bid Price at bar Close
31 CloseBidSize Integer Total Size from all exchanges with CloseBidPrice
32 CloseAskPrice Decimal NBBO Ask Price at bar Close
33 CloseAskSize Decimal Total Size from all exchanges with CloseAskPrice
34 CloseTradePrice Decimal Price of last Trade
35 CloseTradeSize Integer Number of shares of last trade
36 CloseTradeTime String Time of the last Trade
37 MinSpread Decimal Minimum Bid-Ask spread size. This may be 0 if the market was crossed during the bar. If there is a negative spread due to back quote, make it zero
38 MaxSpread Decimal Maximum NBBO Bid-Ask spread in a bar
39 CancelSize Integer Total shares canceled
40 NBBOQuoteCount Integer Number of Bid and Ask NNBO quotes during the bar period
41 TradeAtBid Integer Sum of trade volume that occurred at or below the bid (a trade reported/ printed late can be below the current bid)
42 TradeAtBidMid Integer Sum of trade volume that occurred between the bid and the midpoint: TradeAtBidMid = (Trade Price > NBBO Bid) & (Trade Price < NBBO Mid)
43 TradeAtMid Integer Sum of trade volume that occurred at mid. TradePrice = NBBO MidPoint
44 TradeAtMidAsk Integer Sum of ask volume that occurred between the mid and ask. TradeAtMidAsk = (Trade Price > NBBO Mid) & (Trade Price < NBBO Ask)
45 TradeAtAsk Integer Sum of trade volume that occurred at or above the Ask
46 TradeAtCrossOrLocked Integer Sum of trade volume for the bar when NBBO is locked or crossed. Locked is Bid = AskCrossed is Bid > Ask
47 ListedMarketHoursVolume Integer Public Listed exchanges trading volume during regular market hours only
48 ListedMarketHoursTrades Integer Number of trades during regular market hours in public listed exchanges
49 ListedTotalVolume Integer Public Listed exchanges trading volume for the whole day (includes pre, regular, and post-market)
50 ListedTotalTrades Integer Public Total number of trades for the trade date (includes pre-, regular, and post-market) in listed exchanges
51 FinraMarketHoursVolume Integer FINRA/TRF trading volume during regular market hours only (normal trade day is 09:30:00 to 16:00:00 EST). FINRA/TRP represents off-exchange trading.
52 FinraMarketHoursTrades Integer The number of FINRA/TRF trades during regular market hours. FINRA/TRF represents off-exchange trading.
53 FinraTotalVolume Integer FINRA/TRF trading volume for the whole day (includes pre-, regular, and post-market)
54 FinraTotalTrades Integer Total number of FINRA/TRF trades for the trade date (includes pre, regular, and post-market). FINRA/TRF represents off-exchange trading.
55 UptickVolume Integer Total number of shares traded with upticks during the bar. Uptick = (Trade Price > Last Trade Price)
56 DowntickVolume Integer Total number of shares traded with downticks during the bar. Downtick = (Trade Price < Last Trade Price)
57 RepeatUptickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was up during the bar. Repeat Uptick = (Trade Price == Last Trade Price) & (Last Tick Direction == Up)
58 RepeatDowntickVolume Integer Total number of shares where trade price is the same (repeated) and last price change was down during the bar. Repeat Downtick = (Trade Price == Last Trade Price) & (Last Tick Direction == Down)
59 UnknownTickVolume Integer When the first trade of the day takes place, the tick direction is 'unknown' as there is no previous trade to compare it to. This field is the volume of the first trade after 4 AM and acts as an initiation value for the tick volume directions.Note: In the future, this bar will be renamed to UnknownTickVolume
60 MarketVWAP Decimal Volume weighted average price during regular market hours, normally between 09:30:00 and 16:00:00 EST plus the Opening and Closing Cross (which may be after 16:00:00 EST).
61 DailyVWAP Decimal Volume weighted average price for the whole day including pre, regular, and post-market trades.
62 TradeToMidVolWeight Decimal Indicator for the bar period showing the sum difference between each trades price and NBBO midpoint at the time of the trade weighted by volume. It returns a positive or negative number indicating buying or selling pressure.Note: Blank if no Trades. FINRA reported trades are not included
63 TradeToMidVolWeightRelative Decimal Indicator for the bar period showing the sum difference between each trades price and NBBO midpoint at the time of the trade relative to the spread and weighted by volume. It returns a positive or negative number indicating buying or selling pressure.Note: Blank if no trades.FINRA reported trades are not included.
64 TimeWeightBid Decimal Time-weighted average price of National Best Bid during the bar period
65 TimeWeightAsk Decimal Time-weighted average price of National Best Ask during the bar period