US Futures Trade and Quote
US Futures Trade and Quote
Production
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The U.S. Futures Trade and Quote (TAQ) dataset provides tick-level intraday trade and quote data for CME-listed futures contracts, delivering a detailed view of futures market activity across CME Group exchanges. The dataset captures executed trades and bid/ask quote updates with millisecond timestamp resolution and includes key event attributes such as exchange condition codes and a trade aggressor flag, indicating whether the buyer or seller initiated each trade. These fields enable precise analysis of execution dynamics, order-flow behavior, and short-horizon market microstructure. Coverage spans all futures contracts traded on U.S. exchanges, including products listed on CME, CBOT, COMEX, and NYMEX. Data is organized in UTC for consistency, with local exchange timestamps in Chicago time (CT) included to align with standard futures-market conventions. The dataset is designed to support intraday futures analytics, execution research, and high-resolution historical back-testing where accurate timing and trade/quote context are essential.
Dataset Info
SQL (ArdaDB)
CSV (S3)
Algoseek Dataset ID
US6011
Data Class
Futures
Dataset Name ID
fut_taq
Data Format
Market Data
Version
2.0
Time Granularity
Tick
Region
US
Data Type
Trade and Quote (TAQ)
Universe
All symbols from US exchanges
Update Frequencies
End of day
Start Date
2016-01-01
End Date
Ongoing
Update Frequency
1 Day
Total Size
6.5 TB
Annual Size
886 GB / year
Update Size
2.5 GB
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
Included in Data Research Packages: