US Equities Trade Only Minute Bar

The U.S. Equities Trade-Only Minute Bar dataset provides a minute-by-minute summary of executed trades for U.S. exchange-listed equities, constructed exclusively from trade data (no quotes). Each one-minute interval includes Open, High, Low, Close, and Volume (OHLCV) metrics, along with VWAP and trade count, offering a concise yet informative view of intraday trading activity without the complexity of quote-based analytics. The dataset is derived from the consolidated Equity Securities Information Processor (SIP) trade feed and includes all eligible trades, covering on-exchange executions as well as off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). Coverage spans all exchange-traded 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 Only Minute Bar Guide (algoseek and Excluding FINRA TRF aggregation logic), US Equities Industry Standard Trade Only Minute Bar Guide (Industry Standard aggregation logic).

Aggregation Logic Options

This dataset is available with different aggregation logic variants, which may affect how certain data fields are calculated.

algoseek

algoseek core team comes from a high-frequency background and uses accepted de facto standards for calculating OHLC bars. See documentation for details on included/excluded fields.

Industry Standard

Replicates the approach used by the industry's largest screen data vendor, which is also considered an industry standard by many professionals. The approach varies from modern calculations because it was set back in the 1990s in terms of the types of exchange flags that are included/excluded; see the specification for details.

Excluding FINRA TRF

Excludes all trades that are done off the public ("lit") exchanges.  These trades from dark pools, internal crossing, OTC deals, etc.  These are trades that are not normally possible to participate in, so they can skew the backtesting if Client is only executing on public exchanges. Removing these trades provides a more realistic view of actual trades taking place, but does lose insight into the whole market.

---

Note: This dataset has an adjusted version available. By default, the endpoint returns price and volume values 'as-is' based on information published on the exchange. The adjusted version includes backward-adjusted data that accounts for corporate actions such as dividends and stock splits, which affect fields based on price and volume. You can control this behavior by using the adjusted query parameter in your API requests.

<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>

{
  "data": [
    {
      "TradeDate": "2023-08-02",
      "BarDateTime": "2023-08-02 09:30:00",
      "Ticker": "AAPL",
      "ASID": 1010000000001033,
      "FirstTradePrice": 195.04,
      "HighTradePrice": 195.18,
      "LowTradePrice": 194.8,
      "LastTradePrice": 194.91,
      "VolumeWeightPrice": 194.99545,
      "Volume": 848436,
      "TotalTrades": 7183
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}