US Options Trade and NBBO Quote

US Options Trade and NBBO Quote
Production
·

Data Class

Options

Data Type

TANQ

Delivery Method

CSV, SQL

Vendor

algoseek

Region

US

Documentation

Open Link

The US Equity Options Trade and NBBO Quote dataset is a subset of the US Equity Options TAQ dataset, with non-NBBO quotes being filtered out, making it easier to process. The data contains consolidated last sale, NBBO quotes, open interest, end of day summary, and more, and offers detailed trade/sale condition codes and event type fields indicating information such as complex order, Intermarket Sweep Order (ISO), etc.

The data covers information from all the sixteen Equity Options exchanges. Files are arranged by date followed by ticker.

Browse by tags:

Tick Data Tick Level Consolidated Feed OPRA Trade and NBBO Quote Condition Codes NBBO Only Filtered Data
Dataset Info
Dataset Name ID
opt_tanq
Algoseek Dataset ID
US5007
Data Format
Market Data
Data Class
Options
Data Type
TANQ
Time Granularity
Tick
Region
US
Universe
All equity options contracts from US exchanges
Version
1.0
Update Frequency Options
End of day
 Introductory Demo Info
Start Date
01/01/2023
End Date
01/31/2023
Access Methods
SQL
Description
One month of data (Jan 2023) for the full universe of symbols
 Historical Info
Data Size
34.6 TB / year
Update Size
207 GB
Update Frequency
1 Day
Start Date
2012-01-01
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
03:00 ET
Database Table
USOptionsMarketData.TradeAndNBBOQuote
Database Schema
USOptionsMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
EventDateTime
Internal ID Column
--
Identifier Column
Ticker
Data Fields
Preview Data
# name data type description
1 TradeDate Date The trading day
2 EventDateTime TimeStamp Event timestamp (EST) with a millisecond resolution
3 Ticker String Symbol name
4 CallPut String Option contract class: "C" for Call or "P" for Put
5 Strike Decimal Option contract strike price
6 ExpirationDate Date Expiration date of the option contract
7 EventType Integer Byte code applicable to the event. It is translated into text in the Action column
8 Action String EventType and Side as text
9 Side String For quotes it is "B" for Bid or "A" for Ask. Field is empty for a Trade
10 Price Decimal The price of Bid, Ask, or Trade. Can be up to 4 decimal places for sub-penny prices
11 Quantity Integer The number contracts
12 Exchange String Exchange Acronymn, eg BATS
13 Conditions String Single letter for Trade or Quote Condition
14 UnderBidPrice Decimal Underlying Ticker NBBO Bid price at time of the event
15 UnderAskPrice Decimal Underlying Ticker NBBO Ask price at time of the event

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-options-tanq-yyyy
Update Time
03:00 ET
S3 Bucket Path
yyyymmdd/s/sss/sss.expdate.tar
S3 Bucket Path Description
One tar archive file per ticker, trading day and contract expiration date where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol, expdate is the contract expiration date in yyyymmdd format. The archive sss.expdate.tar contains individual .csv.gz for each strike price and contract class (Call or Put)
S3 Start Year
2012
S3 End Year
N/A
S3 Bucket Size
51.8 TB / year
Sample Data File
AAPL data for Jan 28, 2020
Data Fields
Preview Data
# name data type description
1 Date String Trading date in yyyymmdd format
2 Timestamp String Event timestamp in milliseconds
3 CallPut String Option type (Call or Put) displayed as 'C' or 'P'
4 StrikePrice Decimal Fixed price for buying or selling an option contract
5 ExpirationDate String Expiration date of option contract in yyyymmdd format
6 EventType String Byte code
7 Action String EventType and Side as text
8 Side String B (Buy) or S (Sell) side of the book. Empty field for trade events
9 Price Decimal Option contract pricing
10 Quantity Integer Underlying asset quantity
11 Exchange String Exchange code
12 Conditions String Single letter for trade or quote condition
13 UnderBidPrice Decimal The bid price of the underlying security
14 UnderAskPrice Decimal The ask price of the underlying security