Futures Intraday Bar
U.S. futures minute and second bars with 50+ analytics since 2010. TAQ and trade-only variants with OHLC, VWAP, and aggressor counts. CME/CBOT/COMEX/NYMEX.
Intraday bar data for U.S. futures aggregated at minute and second intervals from CME, CBOT, COMEX, and NYMEX since 2010.
Trade and quote (TAQ) minute bars provide 50+ analytics per interval, including OHLC from both trades and quotes, VWAP, bid-ask spread metrics, and buy/sell aggressor counts. Trade-only minute and second bars isolate execution activity with OHLC, volume, dollar volume, and buy-side and sell-side trade direction statistics.
Futures options intraday bars are also available, covering TAQ minute bars with 50+ analytics and trade-only minute bars for options on futures contracts across all four exchanges.
Trade and Quote Minute Bar#
The U.S. Futures Trade and Quote Minute Bar dataset provides one-minute aggregated, event-based bar derived from intraday trade and quote (TAQ) activity for CME-listed futures contracts. Each one-minute interval contains 50+ analytical and statistical fields, including Open, High, Low, and Close (OHLC) values calculated using both trade executions and quote updates. In addition to standard OHLC measures, the dataset includes VWAP, minimum and maximum bid-ask spreads, and buy- and sell-side aggressor trade counts, enabling detailed analysis of liquidity, order-flow imbalance, and short-horizon futures market behavior. The dataset is constructed from consolidated futures TAQ data and is designed to support intraday futures analytics, execution research, and quantitative modeling, where both trade activity and quote dynamics are required at minute resolution.
Trade Only Minute Bar#
The U.S. Futures Trade-Only Minute Bar dataset provides one-minute aggregated, event-based bar derived exclusively from executed trade activity for CME-listed futures contracts. Each one-minute interval includes Open, High, Low, and Close (OHLC) prices calculated from trade events, along with trade volume, dollar volume, and trade count. The dataset also includes buy-side and sell-side aggressor trade counts, enabling analysis of short-horizon order-flow imbalance and intraday trading behavior without incorporating quote dynamics. The dataset covers major futures contracts traded on U.S. exchanges, including products listed on CME, CBOT, COMEX, and NYMEX, and is constructed from trade-only events (quotes excluded) and is designed to support intraday futures analysis, including execution studies, volume-based strategies, and behavioral research where trade activity alone is the primary signal.