How to Fetch US Equities TAQ Market Data via API
This tutorial covers how to pull tick-by-tick US Equities Trade and Quote (TAQ) data for a specific ticker and date. The examples below use 2023-03-01, as this falls within the demo data period and is accessible to most clients for free.
This tutorial covers how to pull tick-by-tick US Equities Trade and Quote (TAQ) data for a specific ticker and date. The examples below use 2023-03-01, as this falls within the demo data period and is accessible to most clients for free.
Access to this dataset depends on your subscription.
Endpoint: GET /api/v1/data/us-equity/eq-taq/{TradeDate}/{ticker}
What it does: Retrieves the US Equities Trade and Quote (TAQ) data, which compiles all trades and bid/ask quotes from more than 15 US exchanges. This acts as the benchmark for determining the National Best Bid and Offer (NBBO). By default, the API returns JSON data capped at the first 1,000 records.
Basic Request Example#
Fetching AAPL data for March 01, 2023:
curl -X --get \
https://api.devalgoseek.com/api/v1/data/us-equity/eq-taq/2023-03-01/AAPL \
-H "X-API-KEY: YOUR_API_KEY"
Example Response:
{
"data": [
{
"TradeDate": "2023-03-01",
"EventDateTime": "2023-03-01T10:05:13.999140-05:00",
"EventType": "QUOTE ASK",
"Ticker": "AAPL",
"ASID": 1010000000001033,
"Price": 146.19,
"Quantity": 200,
"Exchange": "EDGX",
"ConditionCode": 1
},
{
"TradeDate": "2023-03-01",
"EventDateTime": "2023-03-01T10:05:13.999143-05:00",
"EventType": "QUOTE BID",
"Ticker": "AAPL",
"ASID": 1010000000001033,
"Price": 146.17,
"Quantity": 200,
"Exchange": "BATS",
"ConditionCode": 1
},
{
"TradeDate": "2023-03-01",
"EventDateTime": "2023-03-01T10:05:13.999143-05:00",
"EventType": "QUOTE ASK",
"Ticker": "AAPL",
"ASID": 1010000000001033,
"Price": 146.19,
"Quantity": 200,
"Exchange": "BATS",
"ConditionCode": 1
},
],
"pagination": {
"limit": 1000,
"has_next": true,
"offset": 0
}
}
Advanced Filtering Examples#
You can refine your results using query parameters such as columns to reduce payload size or limit to manage pagination.
1. Filter for NBBO Quotes Only (Ask NB, Bid NB)#
This example focuses on the core quotes used to establish the National Best Bid and Offer.
Request:
curl -X --get \
https://api.devalgoseek.com/api/v1/data/us-equity/eq-taq/2023-03-01/AAPL \
--data 'EventType.in=QUOTE%20BID%20NB,QUOTE%20ASK%20NB&limit=2' \
-H "X-API-KEY: YOUR_API_KEY"
Resonse:
{
"data": [
{
"TradeDate": "2023-03-01",
"EventDateTime": "2023-03-01 03:59:00.051594605",
"EventType": "QUOTE BID NB",
"Ticker": "AAPL",
"ASID": 1010000000001033,
"Price": 0,
"Quantity": 0,
"Exchange": "BATS",
"ConditionCode": 8
},
{
"TradeDate": "2023-03-01",
"EventDateTime": "2023-03-01 03:59:00.051594605",
"EventType": "QUOTE ASK NB",
"Ticker": "AAPL",
"ASID": 1010000000001033,
"Price": 0,
"Quantity": 0,
"Exchange": "BATS",
"ConditionCode": 8
}
],
"pagination": {
"offset": 0,
"limit": 2,
"next_offset": 2
}
}
2. Specific Columns (EventDateTime, Price, Quantity)#
To optimize performance, you can request only the specific fields necessary for your analysis, such as identifying odd-lots.
Request:
curl -X --get \
https://api.devalgoseek.com/api/v1/data/us-equity/eq-taq/2023-03-01/AAPL \
--data 'Quantity.lt=100' \
--data 'Quantity.gt=0' \
--data 'columns=EventDateTime,Price,Quantity' \
--data 'limit=2' \
-H "X-API-KEY: YOUR_API_KEY"
Response:
{
"data": [
{
"EventDateTime": "2023-03-01 04:00:00.005165425",
"Price": 147.66,
"Quantity": 4
},
{
"EventDateTime": "2023-03-01 04:00:00.005173198",
"Price": 147.66,
"Quantity": 1
}
],
"pagination": {
"offset": 0,
"limit": 2,
"next_offset": 2
}
}