US Futures Trade and Quote Minute Bar

US Futures Trade and Quote Minute Bar
Production
·

Data Class

Futures

Data Type

1 Min TAQ

Delivery Method

CSV, SQL

Vendor

algoseek

Region

US

Documentation

Open Link

The US Futures 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.

Browse by tags:

Minute Bar Trade and Quote OHLC Market Analytics Bid-Ask Spread Minute Level Statistical Data Buy/Sell Aggressor
Dataset Info
Dataset Name ID
fut_taq_1min
Algoseek Dataset ID
US6012
Data Format
Market Data
Data Class
Futures
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
 Introductory Demo Info
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
 Historical Info
Data Size
7.3 GB / year
Update Size
20.4 MB
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.
Delivery Info
Update Time
04:00 ET
Database Table
USFuturesMarketData.TradeAndQuoteMinuteBar
Database Schema
USFuturesMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
BarDateTime
Internal ID Column
--
Identifier Column
Ticker
Data Fields
Preview Data
# name data type description
1 TradeDate Date The trading day
2 BarDateTime TimeStamp The timestamp of the bar start (CST)
3 Ticker String Symbol name
4 BaseSymbol String Base product name
5 OpenBidTimeOffset Decimal Time of the open bid price
6 OpenBidPrice Decimal The NBBO bid price as of the bar open
7 OpenBidSize Integer Total number of shares from all exchanges with OpenBidPrice
8 OpenAskTimeOffset Decimal Time of the open ask price
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 OpenTradeTimeOffset Decimal Time of the first trade
12 OpenTradePrice Decimal Price of the first trade
13 OpenTradeSize Integer Number of shares of the first trade
14 HighBidTimeOffset Decimal Time of the highest NBBO bid price
15 HighBidPrice Decimal The highest NBBO bid price
16 HighBidSize Integer Total number of shares from all exchanges with HighBidPrice
17 HighAskTimeOffset Decimal Time of the highest NBBO ask price
18 HighAskPrice Decimal The highest NBBO ask price
19 HighAskSize Integer Total number of shares from all exchanges with HighAskPrice
20 HighTradeTimeOffset Decimal Time of the highest trade
21 HighTradePrice Decimal The highest trade price
22 HighTradeSize Integer Number of shares of the highest trade
23 LowBidTimeOffset Decimal Time of the lowest NBBO bid price
24 LowBidPrice Decimal The lowest NBBO bid price
25 LowBidSize Integer Total number of shares from all exchanges with LowBidPrice
26 LowAskTimeOffset Decimal Time of the lowest NBBO ask price
27 LowAskPrice Decimal The lowest NBBO ask price
28 LowAskSize Integer Total number of shares from all exchanges with LowAskPrice
29 LowTradeTimeOffset Decimal Time of the lowest trade
30 LowTradePrice Decimal The lowest trade price
31 LowTradeSize Integer Number of shares of the lowest trade
32 CloseBidTimeOffset Decimal Time of the close bid price
33 CloseBidPrice Decimal The NBBO bid price as of bar close
34 CloseBidSize Integer Total number of shares from all exchanges with CloseBidPrice
35 CloseAskTimeOffset Decimal Time of the close ask price
36 CloseAskPrice Decimal The NBBO ask price as of bar close
37 CloseAskSize Integer Total number of shares from all exchanges with CloseAskPrice
38 CloseTradeTimeOffset Decimal Time of last trade
39 CloseTradePrice Decimal Price of last trade
40 CloseTradeSize Integer Number of shares of last trade
41 MinSpread Decimal Minimum Bid-Ask spread size
42 MaxSpread Decimal Maximum Bid-Ask spread size
43 VolumeWeightPrice Decimal Volume-weighted average price
44 TotalRegularQuotes Integer The number of Regular Bid/Ask quotes during the bar period
45 TotalQuantity Integer Total number of shares traded
46 BuyAggressorQuantity Integer The number of shares traded with "Aggressor on Buy"
47 SellAggressorQuantity Integer The number of shares traded with "Aggressor on Sell"
48 NoAggressorQuantity Integer The number of shares traded without Aggressor side
49 TotalTrades Integer Total number of trades
50 BuyAggressorTrades Integer The number of "Aggressor on Buy" trades
51 SellAggressorTrades Integer The number of "Aggressor on Sell" trades
52 NoAggressorTrades Integer The number of trades without Aggressor side

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-futures-1min-taq-yyyy
Update Time
04:00 ET
S3 Bucket Path
yyyymmdd/ss/ssmy.csv.gz
S3 Bucket Path Description
One csv.gz file per contract 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
S3 Start Year
2010
S3 End Year
N/A
S3 Bucket Size
7.1 GB / year
Sample Data File
ESH0 data for Jan 28, 2020
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