US Options Continuous Trade and Quote Minute Bar
US Options Continuous Trade and Quote Minute Bar
Production
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The US Equities Options Trade and Quote 1-Minute Bar dataset represents aggregated event-based bars with 59 analytical and statistical data fields. Bars are continuous inside the regular market hours (9:30:00 to 16:15:00 ET), and quotes are carried forward from previous minutes. 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 NBBO quotes, number of trade events that happened on bid/mid/ask prices, etc., which is useful for analysis of market behavior. The dataset includes underlying quote events at the opening and closing of the bar. Such granular insights make this dataset invaluable for algorithmic and quantitative trading, machine learning, market analysis, and academic research.
Dataset Info
CSV (S3)
Algoseek Dataset ID
US5003
Data Class
Options
Dataset Name ID
opt_ctaq_1min
Data Format
Market Data
Version
1.0
Time Granularity
Intraday Bar
Region
US
Data Type
1 Min TAQ
Universe
All equity options contracts from US exchanges
Update Frequencies
End of day
Start Date
2020-01-01
End Date
Ongoing
Update Frequency
1 Day
Total Size
29 TB
Annual Size
4 TB / year
Update Size
16.2 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: