US Future Options Trade and Quote Minute Bar
US Future Options Trade and Quote Minute Bar
Production
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The US Future Options Trade and Quote 1-Minute Bar data feed represents aggregated event-based bars with 50+ analytical and statistical data fields. It includes OHLC (Open, High, Low, Close) information based on both trade and quote events. Also, it provides such analytical fields as VWAP, minimum and maximum bid-ask spreads; and statistical fields such as count of buy/sell aggressor trades which is useful for analysis of market behavior.
Dataset Info
Dataset Name ID
fut_opt_taq_1min
Algoseek Dataset ID
US8004
Data Format
Market Data
Data Class
Future Options
Data Type
1 Min TAQ
Time Granularity
Intraday Bar
Region
US
Universe
All symbols from US exchanges
Version
1.0
Update Frequency Options
End of day
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
Data Size
1.1 TB / year
Update Size
3.1 GB
Update Frequency
1 Day
Start Date
2010-01-01
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.
Data Fields
Preview Data
| # | name | data type | description |
|---|
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.
us-futures-options-1min-taq-yyyy
S3 Bucket Name
us-futures-options-1min-taq-yyyy
Update Time
06:00 ET
S3 Bucket Path
yyyymmdd/ss/ssmy.zip
S3 Bucket Path Description
One zip file per base future per trading date where yyyymmdd is year, month and day, ss - base future symbol (e.g. CL, ES), my is contract expiration date: m is the expiration month code and y is last digit of the expiration year. The zip file contains individual csv file per option type per contract expiration date
S3 Start Year
2010
S3 End Year
N/A
S3 Bucket Size
1.1 TB / year
Sample Data File
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | Ticker | String | Symbol name for a specific s contract |
| 2 | UTCDate | String | UTC trade date |
| 3 | UTCTimeBarStart | String | For minute bars, the format is HH:MM. For second bars, it is HH:MM:SS. |
| 4 | LocalDate | String | Local trade date based on local Chicago time. |
| 5 | LocalTimeBarStart | String | Local time in Chicago including daylight saving time changes |
| 6 | CallPut | String | Option type (Call or Put) displayed as 'C' or 'P'.Note:available only in Future Options dataset |
| 7 | Strike | Integer | A fixed price for buying or selling underlying outright future contract.Note:available only in Future Options dataset |
| 8 | Month | String | A code for the expiration month for the option contract (as a single letter).Note:available only in Future Options dataset |
| 9 | ExpirationYear | Integer | The expiration year of the option contract.Note:available only in Future Options dataset |
| 10 | OpenBidTime | String | Time of first bid |
| 11 | OpenBidPrice | Decimal | Opening bid price |
| 12 | OpenBidSize | Integer | Opening bid Size |
| 13 | OpenAskTime | String | Time of first ask |
| 14 | OpenAskPrice | Decimal | Opening ask price |
| 15 | OpenAskSize | Integer | Opening ask size |
| 16 | OpenTradeTime | String | Time of first trade |
| 17 | OpenTradePrice | Decimal | Price of first trade |
| 18 | OpenTradeSize | Integer | Number of contracts of first trade |
| 19 | HighBidTime | String | Time of highest bid price |
| 20 | HighBidPrice | Decimal | Highest bid price |
| 21 | HighBidSize | Integer | Bid size of highest bid price |
| 22 | HighAskTime | String | Time of highest ask price |
| 23 | HighAskPrice | Decimal | Highest ask price |
| 24 | HighAskSize | Integer | High ask size |
| 25 | HighTradeTime | String | Time of highest trade |
| 26 | HighTradePrice | Decimal | Price of highest trade |
| 27 | HighTradeSize | Integer | Number of contracts of highest trade |
| 28 | LowBidTime | String | Time of lowest bid |
| 29 | LowBidPrice | Decimal | Lowest bid price |
| 30 | LowBidSize | Integer | Bid Size of lowest bid price |
| 31 | LowAskTime | String | Time of lowest ask price |
| 32 | LowAskPrice | Decimal | Lowest ask price |
| 33 | LowAskSize | Integer | Lowest ask size |
| 34 | LowTradeTime | String | Time of lowest trade |
| 35 | LowTradePrice | Decimal | Price of lowest trade |
| 36 | LowTradeSize | Integer | Number of contracts of lowest trade |
| 37 | CloseBidTime | String | Time of last bid |
| 38 | CloseBidPrice | Decimal | Price of last bid in bar |
| 39 | CloseBidSize | Integer | Size of Last bid in bar |
| 40 | CloseAskTime | String | Time of last ask |
| 41 | CloseAskPrice | Decimal | Price of last ask in bar |
| 42 | CloseAskSize | Integer | Size of last ask in bar |
| 43 | CloseTradeTime | String | Time of last trade |
| 44 | CloseTradePrice | Decimal | Price of last trade |
| 45 | CloseTradeSize | Integer | Number of contracts of last trade |
| 46 | MinSpread | Decimal | Minimum Bid-Ask spread size: this requires both a bid and ask during the minute. If the spread is negative, then it is 0. |
| 47 | MaxSpread | Decimal | Maximum Bid-Ask spread size: This requires both a bid and ask during the minute. |
| 48 | VolumeWeightPrice | Decimal | Trade Volume weighted average price: |
| 49 | TotalRegularQuotes | Integer | Number of Regular Bid/Ask quotes. This remains blank if there are no bid or ask events. Implied quotes are ignored for bar creation. |
| 50 | BuyAggressorTrades | Integer | Number of trade where type is 'Trade Aggressor at Buy' |
| 51 | SellAggressorTrades | Integer | Number of trade where type is 'Trade Aggressor at Sell' |
| 52 | NoAggressorTrades | Integer | Number of trades where exchanges do not publish the Trade Aggressor Side |
| 53 | BuyAggressorQuantity | Integer | Sum of trade contracts where type is'Trade Aggressor at Buy' |
| 54 | SellAggressorQuantity | Integer | Sum of trade contracts where type is'Trade Aggressor at Sell' |
| 55 | NoAggressorQuantity | Integer | Sum of trade contracts where exchanges do not publish the Trade Aggressor Side |
| 56 | Volume | Integer | Total number of contracts traded |
| 57 | TotalTrades | Integer | Total number of trades |