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

• 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.

• Continuous bar time

  Bar time is continuous when there's no event. Developers don't need to carry forward previous events

• 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.

• 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.