US Futures Trade and Quote
US Futures Trade and Quote
Production
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The US Futures Trade and Quote dataset provides high-quality intraday trade and quote data with millisecond timestamps. It covers all futures contracts that are traded on US exchanges. One of the features of this feed is the trade aggressor flag that represents insights into who was the initiator of the trade. Another feature of the dataset is local dates and times (Chicago time zone, CT) included while the data is organized by UTC. Also, it includes exchange condition codes for trade and quote events which include additional information on each event.
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
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: