Equity Intraday Bar
U.S. equity minute and second bars with up to 90+ analytics per interval. Trade-only and TAQ variants, exchange-only filters, and VWAP. Since 2007.
Intraday bar data for U.S. equities aggregated at minute and second intervals from the SIP consolidated feed. Coverage spans all listed securities since 2007.
Datasets span the full resolution spectrum: trade and quote (TAQ) bars provide up to 90 quantitative fields per interval, including OHLC from both trades and quotes, time-weighted bid-ask spreads, order-flow indicators, and continuous gap-free time series with complete minute bars and no gaps. Trade-only bars provide OHLCV with VWAP and trade count, isolating execution activity from quote dynamics.
Variants include standard and extended field sets, exchange-only filters (excluding FINRA/TRF off-exchange prints), industry-standard Bloomberg methodology, and split-adjusted and dividend-adjusted intraday data with both raw and adjusted values. Retail buy/sell pressure and probabilistic retail trading indicators are available at 1-minute frequency.
Trade and Quote Minute Bar#
The U.S. Equities Trade and Quote Minute Bar dataset provides a minute-by-minute analytical view of U.S. equity market activity, derived from consolidated trade and quote (TAQ) data. Each one-minute bar contains approximately 60 calculated metrics, summarizing intraday price behavior, quote dynamics, and trading activity. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes market microstructure indicators 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 support intraday liquidity analysis, signal development, and short-horizon market studies without the complexity of tick-level data. The dataset uses a continuous minute-bar timeline. When no qualifying trade or quote updates occur during a given minute, the most recent bid and ask values are carried forward, ensuring a complete, gap-free time series that simplifies downstream joins and modeling. 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 U.S. public-traded equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.
Trade and Quote Extended Minute Bar#
The U.S. Equities Trade and Quote Extended Minute Bar dataset provides a high-resolution, analytics-rich minute-by-minute view of U.S. equity market activity, derived from consolidated trade and quote (TAQ) data. Each one-minute bar contains approximately 90 calculated metrics, capturing detailed price behavior, quote dynamics, and order-flow characteristics. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a broad set of market microstructure indicators, such as trade classification at bid/mid/ask, uptick and downtick counts, bid-ask spread analytics, and time-weighted bid and ask measures. These features are designed to support intraday liquidity analysis, signal research, and fine-grained behavioral modeling. The dataset uses a continuous minute-bar timeline. When no trading or quote updates occur during a given minute, the most recent bid and ask values are carried forward, ensuring a complete and gap-free time series that simplifies downstream joins and model construction. 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 major U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.
Trade Only Minute Bar#
The U.S. Equities Trade-Only Minute Bar dataset provides a minute-by-minute summary of executed trades for U.S. exchange-listed equities, constructed exclusively from trade data (no quotes). Each one-minute interval includes Open, High, Low, Close, and Volume (OHLCV) metrics, along with VWAP and trade count, offering a concise yet informative view of intraday trading activity without the complexity of quote-based analytics. The dataset is derived from the consolidated Equity Securities Information Processor (SIP) trade feed and includes all eligible trades, covering on-exchange executions as well as 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, and units.