1c983de099e2
US Equities 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.
For more details, please refer to the dataset documentation: US Equities Trade and Quote Extended Minute Bar Guide.
<details> <summary>**Advanced Filtering**</summary>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 <a href="https://algoseek.com/docs/rest-api/tutorial/advanced-filtering">Advanced Filtering Guide</a> for the extensive reference.
</details> <details> <summary>**Optimizing Performance**</summary>Some queries to this endpoint may be slow due to the size of the data chunk requested. If this becomes an issue, consider narrowing down the response data with query parameters.
For more details, please refer to the <a href="https://algoseek.com/docs/rest-api/tutorial/optimizing-query-performance">Query Performance Guide</a>.
</details>Path parameters
Dataset's security identifier
Dataset's security identifier
Query parameters
A string representing the time period for which to retrieve data. The format and accepted values depend on the dataset. If not provided, data for all available periods will be returned.
A string representing the time period for which to retrieve data. The format and accepted values depend on the dataset. If not provided, data for all available periods will be returned.
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.
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.
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.
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.
Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.
Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.
Maximum number of records to return. Default and maximum values depend on the response format; see format_limits in the schema for details.
Maximum number of records to return. Default and maximum values depend on the response format; see format_limits in the schema for details.
Note the lowercase which is used for the consistency with other projects and tools
The type of the data to return
Response
JSON, CSV file, or gzip-compressed CSV file, depending on the value of response_format query parameter
Example response
{
"data": [
{
"TradeDate": "2023-06-20",
"BarDateTime": "2023-06-20 04:00:00",
"Ticker": "AAPL",
"ASID": 1010000000001033,
"FirstTradeTimeOffset": 0.006298846,
"FirstTradePrice": 184.62,
"FirstTradeSize": 2,
"HighBidTimeOffset": 33.78131918,
"HighBidPrice": 184.61,
"HighBidSize": 100,
"HighAskTimeOffset": 0.090792355,
"HighAskPrice": 184.77,
"HighAskSize": 800,
"HighTradeTimeOffset": 0.034816096,
"HighTradePrice": 184.77,
"HighTradeSize": 86,
"LowBidTimeOffset": 0.003601784,
"LowBidPrice": 184.3,
"LowBidSize": 400,
"LowAskTimeOffset": 0.003672511,
"LowAskPrice": 184.58,
"LowAskSize": 400,
"LowTradeTimeOffset": 16.672314079,
"LowTradePrice": 184.5,
"LowTradeSize": 5,
"CloseBarTimeOffset": 59.999999999,
"CloseBidPrice": 184.4,
"CloseBidSize": 100,
"CloseAskPrice": 184.64,
"CloseAskSize": 500,
"LastTradeTimeOffset": 58.081899822,
"LastTradePrice": 184.64,
"LastTradeSize": 1,
"MinSpread": 0.08,
"MaxSpread": 0.37,
"VolumeWeightPrice": 184.66526,
"TotalVolumeWeightPrice": 184.66526,
"VolumeWeightPriceExcludePRP": 184.66526,
"VolumeWeightSpread": 0.26702,
"VolumeWeightSpreadExcludePRP": 0.26702,
"TradeAtBid": 12,
"TradeAtBidCount": 3,
"TradeAtBidMid": 447,
"TradeAtBidMidCount": 12,
"TradeAtMidAsk": 30,
"TradeAtMidAskCount": 13,
"TradeAtAsk": 697,
"TradeAtAskCount": 50,
"TradeAtCrossOrLocked": 182,
"TradeAtCrossOrLockedCount": 23,
"Volume": 1368,
"TotalVolume": 1368,
"NBBOQuoteCount": 239,
"TotalQuoteCount": 1080,
"ExchangesBidCount": 555,
"ExchangesAskCount": 525,
"ExchangeTradeCount": 101,
"TotalTrades": 101,
"OddLotTradeCount": 98,
"OddLotTotalShares": 868,
"UptickVolume": 256,
"DowntickVolume": 429,
"RepeatUptickVolume": 492,
"RepeatDowntickVolume": 62,
"UnknownTickVolume": 129,
"TradeToMidVolWeight": 4.48319,
"TradeToMidVolWeightRelative": 0.17512,
"TimeWeightSpread": 0.28264,
"TimeWeightBid": 184.45058,
"TimeWeightBidSize": 118,
"TimeWeightAsk": 184.73281,
"TimeWeightAskSize": 460,
"SpreadValidTime": 59912,
"RelativeSpreadAverage": 0.00104,
"TradeCumulDistributionToBid": "12:112:112:237:364:466:468:468:475:1153"
}
],
"pagination": {
"limit": 1000,
"next_offset": 2000,
"offset": 1000
}
}