Equity Tick
Tick-by-tick U.S. equity trades and quotes from the SIP consolidated feed. Nanosecond timestamps, NBBO, Level II depth, and condition codes since 2007.
Tick-level U.S. equity data capturing every trade execution and quote update disseminated through the Securities Information Processor (SIP) consolidated feed. The full TAQ dataset is the gold standard for US equity markets, as used by two US regulators. Coverage spans all securities listed on U.S. public exchanges since 2007.
Datasets include full trade and quote (TAQ) tick data with nanosecond timestamps and NBBO context, trade-only tick data from SIP Last Sale (on-exchange and TRF trades across all sessions), corporate-action-adjusted trade tick data, and full-depth Level II order book data from direct exchange feeds.
Each record carries complete condition codes, market center identifiers, and session flags (pre-market, regular hours, after-hours), enabling granular analysis of execution quality, market microstructure, and trade-level signal research. These datasets serve as tick-by-tick stock data for high-frequency trading research and intraday analytics.
Trade and Quote#
The U.S. Equities Trade and Quote (TAQ) dataset provides a complete, tick-level record of executed trades and level 1 bid/ask quotes for U.S. exchange-listed equity securities, as well as NBBO indicators, delivering a consolidated view of market activity across the U.S. equities ecosystem. The dataset is derived from the U.S. Securities Information Processor (SIP), also known as the Consolidated Feed, and includes data from Tape A and Tape B (CTA Plan) and Tape C (UTP Plan). It captures all trades and top-of-book quotes from all SIP participant exchanges and trading venues, covering common stocks, ETFs, ETNs, ADRs, and related equity instruments. Each trade and quote event is timestamped at nanosecond resolution and includes exchange identifiers, condition codes, and National Best Bid and Offer (NBBO) context, enabling precise reconstruction of market state and execution conditions. The dataset reflects raw consolidated feed data as disseminated, without post-processing or normalization, preserving historical market conditions for accurate replay, research, and analysis.
Trade Only#
The U.S. Equities Trade-Only dataset provides a tick-by-tick record of executed trades for U.S. exchange-listed equity securities, derived from the consolidated Equity SIP Last Sale. The dataset captures trades executed on all U.S. public equity exchanges, as well as off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). For each trade, core attributes such as price, size (volume), market center, and sales condition codes are provided, enabling detailed analysis of execution activity and trade reporting context. Data spans the entire trading session, including pre-market (from 4:00 a.m.), regular market hours, and after-hours trading (through 8:00 p.m.), offering a complete view of daily trade flow without quote information. The dataset is delivered as trade-only data (no bids or asks), making it suitable for execution analysis, volume studies, and trade-based signal research where quote dynamics are not required.
OTC Quote#
OTC quotes data includes pricing and transaction information for securities traded outside traditional exchanges. OTC Quote History is a dataset provided by OTC Markets, and generated in OTC Markets Link Quotation System. The OTC Quote History File is an end-of-day file that compiles all quotes from the OTC Link Quotation System throughout the entire day. It is presented as a single CSV file for per trading day per symbol