US Options Trade and Quote Daily Bar
US Options Trade and Quote Daily Bar
Production
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The US Equity Options Trade and Quote Daily Bar dataset provides the time, price, and size of daily open, high, low, and close for bid/ask/trade. For CBOE proprietary index options, indicative bid and ask data is provided. Additionally, Curb session close bid and ask details are available for SPX, VIX, and XSP options. Sourced from OPRA feed, the dataset encompasses data from all the sixteen Options exchanges. Timestamps are in millisecond precision. Data files are organized by date and the underlying ticker. All option contracts for the same underlying asset are consolidated into one daily file.
Dataset Info
Dataset Name ID
opt_taq_daily
Algoseek Dataset ID
US5010
Data Format
Market Data
Data Class
Options
Data Type
EOD
Time Granularity
Daily
Region
US
Universe
All equity options contracts from US exchanges
Version
1.0
Update Frequency Options
End of day
Data Size
19.1 GB / year
Update Size
76.1 MB
Update Frequency
1 Day
Start Date
2017-01-01
End Date
Ongoing
SQL (ArdaDB)
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Data Fields
Preview Data
| # | name | data type | description |
|---|
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.
us-options-daily-taq-yyyy
S3 Bucket Name
us-options-daily-taq-yyyy
Update Time
03:00 ET
S3 Bucket Path
yyyymmdd/s/sss.csv.gz
S3 Bucket Path Description
One csv.gz file per ticker and trading day where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol
S3 Start Year
2017
S3 End Year
N/A
S3 Bucket Size
19 GB / year
Sample Data File
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | TradeDate | String | Trading date in yyyymmdd format |
| 2 | Ticker | String | Symbol name |
| 3 | CallPut | String | Option type (Call or Put) displayed as 'C' or 'P' |
| 4 | Strike | Decimal | Fixed price for buying or selling an option contract |
| 5 | ExpirationDate | String | Expiration date of option contract in yyyymmdd format |
| 6 | OpenBidTime | String | Time of open NBBO bid price |
| 7 | OpenBidPrice | Decimal | NBBO Price of the first bid |
| 8 | OpenBidSize | Integer | Size with OpenBidPrice |
| 9 | OpenAskTime | String | Time of open NBBO ask price |
| 10 | OpenAskPrice | Decimal | NBBO price of the first ask |
| 11 | OpenAskSize | Integer | Size with OpenAskPrice |
| 12 | OpenTradeTime | String | Time of the first trade |
| 13 | OpenTradePrice | Decimal | Price of the first trade |
| 14 | OpenTradeSize | Integer | Number of contracts of the first trade |
| 15 | HighBidTime | String | Time of highest NBBO bid price |
| 16 | HighBidPrice | Decimal | The highest NBBO bid price |
| 17 | HighBidSize | Integer | Size of the highest bid price |
| 18 | HighAskTime | String | Time of the highest NBBO ask price |
| 19 | HighAskPrice | Decimal | The highest NBBO ask price |
| 20 | HighAskSize | Integer | Size of the highest ask price |
| 21 | HighTradeTime | String | Time of the highest trade |
| 22 | HighTradePrice | Decimal | Price of the highest trade |
| 23 | HighTradeSize | Integer | Number of contracts of the highest trade |
| 24 | LowBidTime | String | Time of the lowest NBBO bid price |
| 25 | LowBidPrice | Decimal | The lowest NBBO bid price |
| 26 | LowBidSize | Integer | The lowest NBBO bid size |
| 27 | LowAskTime | String | Time of lowest NBBO ask price |
| 28 | LowAskPrice | Decimal | The lowest NBBO ask price |
| 29 | LowAskSize | Integer | Size of the lowest ask price |
| 30 | LowTradeTime | String | Time of the lowest trade |
| 31 | LowTradePrice | Decimal | Price of the lowest trade |
| 32 | LowTradeSize | Integer | The lowest trades number of contracts |
| 33 | CloseBidTime | String | Time of the last NBBO bid price |
| 34 | CloseBidPrice | Decimal | NBBO price of the last bid |
| 35 | CloseBidSize | Integer | Size of the last bid |
| 36 | CloseAskTime | String | Time of the last NBBO ask price |
| 37 | CloseAskPrice | Decimal | NBBO price of the last ask |
| 38 | CloseAskSize | Integer | Size of the last ask |
| 39 | CloseTradeTime | String | Time of the last trade |
| 40 | CloseTradePrice | Decimal | Price of the last trade |
| 41 | CloseTradeSize | Integer | Number of contracts of the last trade |
| 42 | Volume | Integer | Total number of contracts traded during market hours |
| 43 | OpenInterest | Integer | Open interest |
| 44 | CurbCloseBidTime | String | Time of the last NBBO bid price of the Curb session |
| 45 | CurbCloseBidPrice | Decimal | NBBO price of the last bid of Curb session (17:00 ET) |
| 46 | CurbCloseBidSize | Integer | Size with CurbCloseBidkPrice |
| 47 | CurbCloseAskTime | String | Time of the last NBBO ask price of the Curb session |
| 48 | CurbCloseAskPrice | Decimal | NBBO price of the last ask of Curb session (17:00 ET) |
| 49 | CurbCloseAskSize | Integer | Size with CurbCloseAskPrice |
| 50 | IndicatBidTime1600 | String | Time of bid indicative value |
| 51 | IndicatBidPrice1600 | Decimal | Indicative value calculated for bid as of 16:00 ET |
| 52 | IndicatAskTime1600 | String | Time of ask indicative value |
| 53 | IndicatAskPrice1600 | Decimal | Indicative value calculated for ask as of 16:00 ET |