US Equities Trade and Quote Daily Bar

GET https://api.devalgoseek.com/api/v1/data/us-equity/eq-taq-daily#

The U.S. Equities Trade and Quote Daily Bar dataset provides a daily, analytics-rich summary of market activity derived from consolidated trade and top-of-book quote (TAQ) data. It aggregates intraday TAQ information into a comprehensive set of 65 metrics, capturing both price formation and trading behavior. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a wide range of market microstructure statistics, such as buying and selling pressure indicators, spread and quote dynamics, exchange-level and FINRA-reported volume, and other trade- and quote-based analytics. These metrics are designed to characterize daily liquidity, order-flow imbalance, and trading intensity. The dataset is derived from Equity Securities Information Processor (SIP) data and covers all eligible trades and top-of-book quotes, including off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). Coverage spans all major U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.

For more details, please refer to the dataset documentation: US Equities Trade and Quote Daily Bar Guide.

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.

Request#

Query Parameters#

sort Sort

Sorting criteria for the results. Provide a column name with optional prefix '+' for ascending order, or prefix with '-' for descending order. Multiple sorting fields may be supported depending on the dataset. If sort prefix is not provided, the ascending order is applied.

columns Columns

A comma-separated list of columns to include in the response. Use this parameter to select only specific fields from the dataset. If not provided, all available columns will be returned.

offset Offset

Possible values: >= 0

Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.

Default value: 0

Example: 100

limit Limit

Possible values: >= 0 and <= 100000

Maximum number of records to return. Used to control response size and pagination. If not provided, a default limit is applied by the server.

Default value: 10000

Example: 100

response_format ResponseFormat

Possible values: [json, csv, csv_gzip]

The type of the data to return

Default value: json

Examples:

JSON
CSV Gzip

JSON format (default)

Example: json

Compressed CSV format

Example: csv_gzip

Responses#

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

application/json
text/csv
application/gzip

Schema
Example (auto)

Schema

data object[]required

Array [

TradeDatedate

The trading day

Example: 2023-08-02

Tickerstring

Symbol name

Example: A

ASIDinteger

A unique identifier for a security

Example: 1010000000001000

Namestring

Company name

Example: Agilent Technologies Inc.

PrimaryExchangestring

The Primary listing exchange on this trading day

Example: NYSE

ISINstring

International Securities Identification Number

Example: US00846U1016

OpenBidPricenumber

The NBBO bid price as of the bar open

Example: 121.12

OpenBidSizeinteger

Total number of shares from all exchanges with OpenBidPrice

Example: 200

OpenAskPricenumber

The NBBO ask price as of the bar open

Example: 122.23

OpenAskSizeinteger

Total number of shares from all exchanges with OpenAskPrice

Example: 400

OpenTradePricenumber

Price of the first trade

Example: 122

OpenTradeSizeinteger

Number of shares of the first trade

Example: 19266

OpenTradeTimedate-time

Time of the first trade

Example: 2023-08-02 09:30:01.048000000

HighBidPricenumber

The highest NBBO bid price

Example: 128.7

HighBidSizeinteger

Total number of shares from all exchanges with HighBidPrice

Example: 100

HighBidTimedate-time

Time of highest NBBO bid price

Example: 2023-08-02 09:57:03.256000000

HighAskPricenumber

The highest NBBO ask price

Example: 129

HighAskSizeinteger

Total number of shares from all exchanges with HighAskPrice

Example: 200

HighAskTimedate-time

Time of highest NBBO ask price

Example: 2023-08-02 16:00:00.373000000

HighTradePricenumber

The highest trade price

Example: 128.72

HighTradeTimedate-time

Time of the highest trade

Example: 2023-08-02 09:57:02.206000000

LowBidPricenumber

The lowest NBBO bid price

Example: 121.09

LowBidSizeinteger

Total number of shares from all exchanges with LowBidPrice

Example: 200

LowBidTimedate-time

Time of the lowest NBBO bid price

Example: 2023-08-02 09:30:01.048000000

LowAskPricenumber

The lowest NBBO ask price

Example: 122.05

LowAskSizeinteger

Total number of shares from all exchanges with LowAskPrice

Example: 100

LowAskTimedate-time

Time of the lowest NBBO ask price

Example: 2023-08-02 09:30:01.064000000

LowTradePricenumber

The lowest trade price

Example: 121.84

LowTradeTimedate-time

Time of the lowest trade

Example: 2023-08-02 09:30:02.086000000

CloseBidPricenumber

The NBBO bid price as of bar close

Example: 125.72

CloseBidSizeinteger

Total number of shares from all exchanges with CloseBidPrice

Example: 100

CloseAskPricenumber

The NBBO ask price as of bar close

Example: 129

CloseAskSizeinteger

Total number of shares from all exchanges with CloseAskPrice

Example: 200

CloseTradePricenumber

Price of last Trade

Example: 127.71

CloseTradeSizeinteger

Number of shares of last trade

Example: 257270

CloseTradeTimedate-time

Time of the last Trade

Example: 2023-08-02 16:02:38.522000000

MinSpreadnumber

Minimum NBBO Bid-Ask spread size

Example: 0.01

MaxSpreadnumber

Maximum NBBO Bid-Ask spread size

Example: 5

CancelSizeinteger

Total of number of shares canceled (when a previously reported trade is cancelled)

Example: 0

NBBOQuoteCountinteger

The number of Bid and Ask NNBO quotes during the bar period

Example: 197006

TradeAtBidinteger

Total trade volume at or below the bid price

Example: 310327

TradeAtBidMidinteger

Total trade volume between the bid and mid price

Example: 398189

TradeAtMidinteger

Total trade volume at the mid price

Example: 546244

TradeAtMidAskinteger

Total trade volume between the mid and ask price

Example: 581445

TradeAtAskinteger

Total trade volume at or above the ask price

Example: 450954

TradeAtCrossOrLockedinteger

Total trade volume when NBBO is locked or crossed

Example: 5048

ListedMarketHoursVolumeinteger

A trading volume during regular market hours on public listed exchanges

Example: 1598893

ListedMarketHoursTradesinteger

A total number of trades during regular market hours on public listed exchanges

Example: 28823

ListedTotalVolumeinteger

A trading volume for the whole day on public listed exchanges

Example: 1599094

ListedTotalTradesinteger

A total number of trades for the whole day on public listed exchanges

Example: 28835

FinraMarketHoursVolumeinteger

FINRA/TRF trading volume during regular market hours

Example: 989976

FinraMarketHoursTradesinteger

A total number of FINRA/TRF trades during regular market hours

Example: 12116

FinraTotalVolumeinteger

FINRA/TRF trading volume for the whole day

Example: 1057118

FinraTotalTradesinteger

A total number of FINRA/TRF trades for the whole day

Example: 12200

UptickVolumeinteger

Total number of shares traded with upticks

Example: 646633

DowntickVolumeinteger

Total number of shares traded with downticks

Example: 617391

RepeatUptickVolumeinteger

Total number of shares where trade price is the same (repeated) and last price change was up during the bar

Example: 573806

RepeatDowntickVolumeinteger

Total number of shares where trade price is the same (repeated) and last price change was down during the bar

Example: 454377

UnknownTickVolumeinteger

When the first trade of the day takes place, the tick direction is "unknown" as there is no previous trade to compare it to

Example: 0

MarketVWAPnumber

Volume-weighted average price during regular market hours plus the Opening and Closing Cross

Example: 126.85

DailyVWAPnumber

Volume-weighted average price for the whole day

Example: 126.87

TradeToMidVolWeightnumber

The sum difference between each trade’s price and NBBO midpoint at the time of the trade weighted by volume

Example: 1.4435

TradeToMidVolWeightRelativenumber

The sum difference between each trade’s price and NBBO midpoint at the time of the trade relative to the spread and weighted by volume

Example: 0.06404

TimeWeightBidnumber

Time-weighted average price of the NBBO bid

Example: 126.79062

TimeWeightAsknumber

Time-weighted average price of the NBBO ask

Example: 126.90444

]

pagination objectrequired

offsetinteger

The number of records skipped to fetch the current page

Default value: 0

limitintegerrequired

The maximum number of records in the current page

next_offsetinteger

The number of records to skip to fetch the next page

{
  "data": [
    {
      "TradeDate": "2023-08-02",
      "Ticker": "A",
      "ASID": 1010000000001000,
      "Name": "Agilent Technologies Inc.",
      "PrimaryExchange": "NYSE",
      "ISIN": "US00846U1016",
      "OpenBidPrice": 121.12,
      "OpenBidSize": 200,
      "OpenAskPrice": 122.23,
      "OpenAskSize": 400,
      "OpenTradePrice": 122,
      "OpenTradeSize": 19266,
      "OpenTradeTime": "2023-08-02 09:30:01.048000000",
      "HighBidPrice": 128.7,
      "HighBidSize": 100,
      "HighBidTime": "2023-08-02 09:57:03.256000000",
      "HighAskPrice": 129,
      "HighAskSize": 200,
      "HighAskTime": "2023-08-02 16:00:00.373000000",
      "HighTradePrice": 128.72,
      "HighTradeTime": "2023-08-02 09:57:02.206000000",
      "LowBidPrice": 121.09,
      "LowBidSize": 200,
      "LowBidTime": "2023-08-02 09:30:01.048000000",
      "LowAskPrice": 122.05,
      "LowAskSize": 100,
      "LowAskTime": "2023-08-02 09:30:01.064000000",
      "LowTradePrice": 121.84,
      "LowTradeTime": "2023-08-02 09:30:02.086000000",
      "CloseBidPrice": 125.72,
      "CloseBidSize": 100,
      "CloseAskPrice": 129,
      "CloseAskSize": 200,
      "CloseTradePrice": 127.71,
      "CloseTradeSize": 257270,
      "CloseTradeTime": "2023-08-02 16:02:38.522000000",
      "MinSpread": 0.01,
      "MaxSpread": 5,
      "CancelSize": 0,
      "NBBOQuoteCount": 197006,
      "TradeAtBid": 310327,
      "TradeAtBidMid": 398189,
      "TradeAtMid": 546244,
      "TradeAtMidAsk": 581445,
      "TradeAtAsk": 450954,
      "TradeAtCrossOrLocked": 5048,
      "ListedMarketHoursVolume": 1598893,
      "ListedMarketHoursTrades": 28823,
      "ListedTotalVolume": 1599094,
      "ListedTotalTrades": 28835,
      "FinraMarketHoursVolume": 989976,
      "FinraMarketHoursTrades": 12116,
      "FinraTotalVolume": 1057118,
      "FinraTotalTrades": 12200,
      "UptickVolume": 646633,
      "DowntickVolume": 617391,
      "RepeatUptickVolume": 573806,
      "RepeatDowntickVolume": 454377,
      "UnknownTickVolume": 0,
      "MarketVWAP": 126.85,
      "DailyVWAP": 126.87,
      "TradeToMidVolWeight": 1.4435,
      "TradeToMidVolWeightRelative": 0.06404,
      "TimeWeightBid": 126.79062,
      "TimeWeightAsk": 126.90444
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}

Schema
Example (auto)

Schema

stringbinary

"string"

Schema
Example (auto)

Schema

stringbinary

"string"

Validation Error

application/json

Schema
Example (auto)

Schema

detail object[]

Array [

loc object[]required

Array [

anyOf

string
integer

string

]

msgstringrequired

typestringrequired

inputInput

ctxobject

]

{
  "detail": [
    {
      "loc": [
        "string",
        0
      ],
      "msg": "string",
      "type": "string",
      "ctx": {}
    }
  ]
}

Authorization: X-API-KEY#

name: X-API-KEYtype: apiKeyin: header

HTTPCLIENT
RESTSHARP

var client = new HttpClient();
var request = new HttpRequestMessage(HttpMethod.Get, "https://api.devalgoseek.com/api/v1/data/us-equity/eq-taq-daily");
request.Headers.Add("Accept", "application/json");
request.Headers.Add("X-API-KEY", "<X-API-KEY>");
var response = await client.SendAsync(request);
response.EnsureSuccessStatusCode();
Console.WriteLine(await response.Content.ReadAsStringAsync());

Response

Click the Send API Request button above and see the response here!

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