1c983de099e2
US Equities Trade and Quote Daily Bar
The U.S. Equities Trade and Quote Daily Bar dataset provides a daily, analytics-rich summary of market activity derived from consolidated trade and top-of-book quote (TAQ) data. It aggregates intraday TAQ information into a comprehensive set of 65 metrics, capturing both price formation and trading behavior. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a wide range of market microstructure statistics, such as buying and selling pressure indicators, spread and quote dynamics, exchange-level and FINRA-reported volume, and other trade- and quote-based analytics. These metrics are designed to characterize daily liquidity, order-flow imbalance, and trading intensity. The dataset is derived from Equity Securities Information Processor (SIP) data and covers 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 Daily 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>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": "2023-08-02",
"Ticker": "A",
"ASID": 1010000000001000,
"Name": "Agilent Technologies Inc.",
"PrimaryExchange": "NYSE",
"ISIN": "US00846U1016",
"OpenBidPrice": 121.12,
"OpenBidSize": 200,
"OpenAskPrice": 122.23,
"OpenAskSize": 400,
"OpenTradePrice": 122,
"OpenTradeSize": 19266,
"OpenTradeTime": "2023-08-02 09:30:01.048000000",
"HighBidPrice": 128.7,
"HighBidSize": 100,
"HighBidTime": "2023-08-02 09:57:03.256000000",
"HighAskPrice": 129,
"HighAskSize": 200,
"HighAskTime": "2023-08-02 16:00:00.373000000",
"HighTradePrice": 128.72,
"HighTradeTime": "2023-08-02 09:57:02.206000000",
"LowBidPrice": 121.09,
"LowBidSize": 200,
"LowBidTime": "2023-08-02 09:30:01.048000000",
"LowAskPrice": 122.05,
"LowAskSize": 100,
"LowAskTime": "2023-08-02 09:30:01.064000000",
"LowTradePrice": 121.84,
"LowTradeTime": "2023-08-02 09:30:02.086000000",
"CloseBidPrice": 125.72,
"CloseBidSize": 100,
"CloseAskPrice": 129,
"CloseAskSize": 200,
"CloseTradePrice": 127.71,
"CloseTradeSize": 257270,
"CloseTradeTime": "2023-08-02 16:02:38.522000000",
"MinSpread": 0.01,
"MaxSpread": 5,
"NBBOQuoteCount": 197006,
"TradeAtBid": 310327,
"TradeAtBidMid": 398189,
"TradeAtMid": 546244,
"TradeAtMidAsk": 581445,
"TradeAtAsk": 450954,
"TradeAtCrossOrLocked": 5048,
"ListedMarketHoursVolume": 1598893,
"ListedMarketHoursTrades": 28823,
"ListedTotalVolume": 1599094,
"ListedTotalTrades": 28835,
"FinraMarketHoursVolume": 989976,
"FinraMarketHoursTrades": 12116,
"FinraTotalVolume": 1057118,
"FinraTotalTrades": 12200,
"UptickVolume": 646633,
"DowntickVolume": 617391,
"RepeatUptickVolume": 573806,
"RepeatDowntickVolume": 454377,
"MarketVWAP": 126.85,
"DailyVWAP": 126.87,
"TradeToMidVolWeight": 1.4435,
"TradeToMidVolWeightRelative": 0.06404,
"TimeWeightBid": 126.79062,
"TimeWeightAsk": 126.90444
}
],
"pagination": {
"limit": 1000,
"next_offset": 2000,
"offset": 1000
}
}