1c983de099e2
US Futures Trade and Quote Minute Bar
The U.S. Futures Trade and Quote Minute Bar dataset provides one-minute aggregated, event-based bar derived from intraday trade and quote (TAQ) activity for CME-listed futures contracts. Each one-minute interval contains 50+ analytical and statistical fields, including Open, High, Low, and Close (OHLC) values calculated using both trade executions and quote updates. In addition to standard OHLC measures, the dataset includes VWAP, minimum and maximum bid-ask spreads, and buy- and sell-side aggressor trade counts, enabling detailed analysis of liquidity, order-flow imbalance, and short-horizon futures market behavior. The dataset is constructed from consolidated futures TAQ data and is designed to support intraday futures analytics, execution research, and quantitative modeling, where both trade activity and quote dynamics are required at minute resolution.
For more details, please refer to the dataset documentation: US Futures Trade and Quote 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": "2010-01-03",
"BarDateTime": "2010-01-03 16:15:00",
"Ticker": "6AH0",
"BaseSymbol": "6A",
"OpenBidTimeOffset": 0.041,
"OpenBidPrice": 0.8888,
"OpenBidSize": 1,
"OpenAskTimeOffset": 0.05,
"OpenAskPrice": 0.892,
"OpenAskSize": 2,
"HighBidTimeOffset": 0.041,
"HighBidPrice": 0.8888,
"HighBidSize": 1,
"HighAskTimeOffset": 0.05,
"HighAskPrice": 0.892,
"HighAskSize": 2,
"LowBidTimeOffset": 0.041,
"LowBidPrice": 0.8888,
"LowBidSize": 1,
"LowAskTimeOffset": 0.05,
"LowAskPrice": 0.892,
"LowAskSize": 2,
"CloseBidTimeOffset": 47.021,
"CloseBidPrice": 0.8888,
"CloseBidSize": 2,
"CloseAskTimeOffset": 0.05,
"CloseAskPrice": 0.892,
"CloseAskSize": 2,
"MinSpread": 0.0032,
"MaxSpread": 0.0032,
"TotalRegularQuotes": 3
}
],
"pagination": {
"limit": 1000,
"next_offset": 2000,
"offset": 1000
}
}