US Futures Trade Only Second Bar

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The U.S. Futures Trade-Only Second Bar dataset provides one-second aggregated, event-based bar derived exclusively from executed trade activity for CME-listed futures contracts. Each one-second interval includes Open, High, Low, and Close (OHLC) prices calculated from trade events, along with trade volume, dollar volume, and trade count. The dataset also includes buy-side and sell-side aggressor trade counts, enabling analysis of short-horizon order-flow imbalance and intraday trading behavior without incorporating quote dynamics. The dataset covers major futures contracts traded on U.S. exchanges, including products listed on CME, CBOT, COMEX, and NYMEX, and is constructed from trade-only events (quotes excluded) and is designed to support intraday futures analysis, including execution studies, volume-based strategies, and behavioral research where trade activity alone is the primary signal.