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us-equity-tick

US Equities 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.

For more details, please refer to the dataset documentation: US Equities Trade and Quote 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>
get/v1/data/us-equity/taq/{trade_date}/{identifier}

Path parameters

trade_datestring required

Trading date in YYYY-MM-DD format

Trading date in YYYY-MM-DD format

identifierstring required

Dataset's security identifier

Dataset's security identifier

Query parameters

sortstring nullable

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.

columnsstring nullable

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.

offsetinteger

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.

limitinteger

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.

response_format'json' | 'csv' | 'csv_gzip'

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",
      "EventDateTime": "2023-08-02 10:02:46.505247089",
      "EventType": "QUOTE BID",
      "Ticker": "AAPL",
      "ASID": 1010000000001033,
      "Price": 194.22,
      "Quantity": 100,
      "Exchange": "NASDAQ",
      "ConditionCode": 1
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}