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us-futures-tick

US Futures Trade and Quote

The U.S. Futures Trade and Quote (TAQ) dataset provides tick-level intraday trade and quote data for CME-listed futures contracts, delivering a detailed view of futures market activity across CME Group exchanges. The dataset captures executed trades and bid/ask quote updates with millisecond timestamp resolution and includes key event attributes such as exchange condition codes and a trade aggressor flag, indicating whether the buyer or seller initiated each trade. These fields enable precise analysis of execution dynamics, order-flow behavior, and short-horizon market microstructure. Coverage spans all futures contracts traded on U.S. exchanges, including products listed on CME, CBOT, COMEX, and NYMEX. Data is organized in UTC for consistency, with local exchange timestamps in Chicago time (CT) included to align with standard futures-market conventions. The dataset is designed to support intraday futures analytics, execution research, and high-resolution historical back-testing where accurate timing and trade/quote context are essential.

For more details, please refer to the dataset documentation: US Futures 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-futures/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": "2023-08-01",
      "EventDateTime": "2023-08-01 19:00:00.000000000",
      "Ticker": "ESZ3",
      "BaseSymbol": "ES",
      "SecurityID": 314863,
      "EventType": "QUOTE BID",
      "Price": 4637.25,
      "Quantity": 4,
      "Orders": 3,
      "TypeMask": 161
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}