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US Equities Trade and Quote Extended Second Bar

GET 
/v1/data/us-equity/taq-1sec-ext/:identifier

The U.S. Equities Trade and Quote Extended Second Bar dataset provides a high-granularity, event-driven view of U.S. equity market activity at one-second resolution, derived from consolidated trade and quote (TAQ) data. Each bar contains approximately 90 calculated metrics, capturing detailed price behavior, quote dynamics, and short-horizon order-flow characteristics.In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a rich set of market microstructure analytics, such as trade classification at bid/mid/ask, uptick and downtick statistics, bid-ask spread measures, and time-weighted bid and ask metrics. These features are designed to support fine-grained intraday analysis, short-horizon signal research, and execution-sensitive modeling. Unlike continuous minute bar, this dataset uses an event-based bar construction: a one-second bar is generated only when trading or quote activity occurs. Seconds with no activity do not produce a bar, preserving the true temporal density of market events and avoiding artificial carry-forward behavior. Data is derived from Equity Securities Information Processor (SIP) feeds and includes all eligible trades and top-of-book quotes, including off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). Coverage spans all exchange-traded U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, units, etc.

For more details, please refer to the dataset documentation: US Equities Trade and Quote Extended Second Bar Guide (algoseek and Excluding FINRA TRF aggregation logic).

Aggregation Logic Options​

This dataset is available with different aggregation logic variants, which may affect how certain data fields are calculated.

algoseek​

algoseek core team comes from a high-frequency background and uses accepted de facto standards for calculating OHLC bars. See documentation for details on included/excluded fields.

Excluding FINRA TRF​

Excludes all trades that are done off the public ("lit") exchanges.  These trades from dark pools, internal crossing, OTC deals, etc.  These are trades that are not normally possible to participate in, so they can skew the backtesting if Client is only executing on public exchanges. Removing these trades provides a more realistic view of actual trades taking place, but does lose insight into the whole market.

Advanced Filtering

You can provide one or multiple filter expressions based on the dataset's columns to narrow down the results. For example, StartDate.gt=2023-01-01&StartDate.lt=2023-12-31, Ticker=AAPL.

Please refer to the Advanced Filtering Guide for the extensive reference.

Optimizing Performance

Some queries to this endpoint may be slow due to the size of the data chunk requested. If this becomes an issue, consider narrowing down the response data with query parameters.

For more details, please refer to the Query Performance Guide.

Request​

Responses​

JSON, CSV file, or gzip-compressed CSV file, depending on the value of response_format query parameter