Sold by: algoseek
Deployed on AWS
Intraday Trade+Quote tick data and One-Minute Bar with over 60 Data Points for FAANG (FB, AMZN, AAPL, NFLX and GOOG) for 2020 year.
Overview
Dataset Description
The FAANG Intraday data includes intraday tick data (trades and top-of-book quotes) with nanosecond timestamp and One Minute Bar for FAANG stocks, i.e., Facebook (FB), Amazon (AMZN), Apple (AAPL), Netflix (NFLX) and Alphabet (GOOG).
Data covers both extended hours and market hours from 4:00:00 am to 20:00:00 pm, is organized into one file per ticker per trading day and stored as csv files.
With rich information (over sixty data points) and continuous bar time, algoseek Minute Bar is designed for back-testing, AI, machine learning and quantitative research, and easy for machine ingestion.
Data Source
algoseek collects live data from Securities Information Processor (SIP) via its Equinix co-location servers and proprietary ticker plant, and aggregates trades and quotes into minute bars with algoseek parallel-processing software.
Features for algoseek Equity Minute Bar
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Information-Rich Aggregation with Over Sixty Data Points
algoseek TAQ (Trade + Quote) Minute Bar data currently contains 61 data points. Apart from OHLC (Open, High, Low, Close), Bar also includes spread information, trades at bid/mid/ask, quote count, tick count, FINRA volume, repeat uptick/downtick volume, time-weighted bid/ask, etc., to provide insights into the market activity.
The number of data points in Minute Bar will soon be increased to over 80 with a focus on retail activity.
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Continuous bar time
Bar time is continuous when there's no event. Developers don't need to carry forward previous events
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As-is Data
algoseek tick data and TAQ minute bar are based on raw data collected live, not archived exchange data, and are realistic and good for trading strategy development and back-testing.
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Nanosecond timestamp
Timestamp is nanosecond after January 1st 2016, and millisecond before.
Further Details
Please refer to Equity Trade+Quote and Equity Trade+Quote Minute Bar documentation for full dataset details.
Details
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Refunds are not offered for this product
Legal
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Content disclaimer
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Delivery details
AWS Data Exchange (ADX)
AWS Data Exchange is a service that helps AWS easily share and manage data entitlements from other organizations at scale.
Additional details
You will receive access to the following data sets.
Data set name | Type | Historical revisions | Future revisions | Sensitive information | Data dictionaries | Data samples |
|---|---|---|---|---|---|---|
2020 FAANG Equity Trade+Quote Minute Bar | All historical revisions | All future revisions | Not included | Not included | ||
2020 FAANG Equity Trade+Quote | All historical revisions | All future revisions | Not included | Not included |
Resources
Vendor resources
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