AlgoSeek Equity Trade and Quote Data US coverage - nanosecond timestamps since 2016

algoseek Trade and Quote (TAQ) data contain all trades and top-of-book intraday quotes for all listed stocks, ETNs, ETFs, ADRs, and funds from 15+ US exchanges and marketplaces. TAQ data files are organized into a single format feed where events are ordered by the time received with nanosecond timestamps starting from 2016, and millisecond timestamps before. The entire trading session includes early and late hours from 04:00 to 20:00 EST

搜集汇总

背景与挑战

背景概述

AlgoSeek Equity Trade and Quote (TAQ) 数据集涵盖了美国所有上市股票、ETN、ETF、ADR和基金的交易与报价数据，覆盖15个以上交易所和市场。数据以单一格式组织，事件按接收时间排序，从2016年起使用纳秒级时间戳，交易时段为东部时间04:00至20:00。