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US EquitiesFull SIP feed, TAQ, 90-field bars, security masters
US Equity Options (OPRA)Full OPRA feed, 60+ field bars, contract lifecycle
US FuturesCME, CBOT, NYMEX, COMEX, CFE, 10-level depth
Options on FuturesOptions depth, same schemas as futures

Equity Security MasterASID, FIGI, ISIN cross-reference
Options Security MasterContract lifecycle and identifiers
Adjustment FactorsSplits, dividends, recalculated nightly
Index ComponentsPoint-in-time index membership
Greeks IVDelta, gamma, theta, vega, and implied volatility
IPOsNew listings, initial pricing, first-day trading

US Equities PackageTAQ, bars, reference data, analytics
US Options PackageOPRA, greeks, security masters
US Futures PackageCME group, depth, reference data
Options on Futures PackageOptions on futures, same schemas
Multi-Asset PackageEquities, options, and futures combined

Co-locationEquinix NY and Chicago, fully managed
ArdaDBSubsecond cloud SQL on the full archive
SandboxUp to a year of data, no credit card required
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InfrastructureMercury, real-time feeds, managed services

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Research from the data desk

Whitepapers, case studies, videos, and technical documentation from the team behind the feed.

Backtesting and Evaluation

Data Quality and Construction

Market Microstructure

Market Microstructure

Prices that Never Existed: A Universe-scale Measurement of Phantom-print Contamination in Equity Backtests

Daniel Gatto

Sep 30, 2026
Backtesting and Evaluation

Multi-Horizon Echo State Network Prediction of Intraday Stock Returns

Giovanni BallarinJacopo CapraPetros Dellaportas

Sep 4, 2026
Market Microstructure

The Price Impact of Hedging Expiring Index Options

Dr. Diego AmayaDr. Pedro A. Garcia-AresDr. Neil D. PearsonDr. Aurelio Vasquez

Aug 25, 2026
Market Microstructure

From CAPE 15 to CAPE 35: Overnight Returns and Intraday Trading Patterns

Thomas PerretenProf. Dr. Martin Wallmeier

Aug 10, 2026
Market Microstructure

Adverse Selection Consumes the Touch: A True-Aggressor-Signed Maker-P&L Decomposition Across 13 CME Futures

Daniel Gatto

Jul 2, 2026
Market Microstructure

The Reach of the World Cup Distraction Effect: Evidence from Global Trading Venues

Daniel Gatto

Jun 18, 2026
Market Microstructure

Price Discovery Overnight:Evidence from Pre- and After-Market Trading

Thomas Perreten

Feb 28, 2026
Market Microstructure

Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis

S. Rabindrajit LuwangKundan MukhiaBuddha Nath SharmaDr. Md. NurujjamanDr. Anish RaiDr. Filippo Petroni

Jan 8, 2026
Market Microstructure

Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach (arXiv preprint, 2025)

S. Rabindrajit LuwangDr. Anish RaiDr. Md. NurujjamanDr. Filippo Petroni

Nov 10, 2025

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