1,391 U.S. equities and ETFs. 1-minute bars. December 2002 through present.
Tickers
Bars (Clean)
Trading Days
Academic Variables
Tickers are sorted by average daily dollar volume into five quintiles. Data quality varies systematically with liquidity.
| Quintile | Tickers | Description | Avg. gap rate | Data completeness |
|---|---|---|---|---|
| Q5 (most liquid) | 278 | Large-cap, heavily traded (AAPL, MSFT, SPY...) | 2.1% | |
| Q4 | 278 | Mid-to-large cap | 8.4% | |
| Q3 | 279 | Mid-cap | 18.7% | |
| Q2 | 278 | Small-to-mid cap | 32.5% | |
| Q1 (least liquid) | 278 | Small-cap, thinly traded | 51.8% |
Gap rate = fraction of the 390-bar daily grid (09:30–15:59 ET) with no observed trade.
Consolidated tape data derived from CTA (NYSE-listed) and UTP (Nasdaq-listed) feeds. Same underlying data as CRSP and TAQ. One-minute OHLCV bars, split and dividend adjusted.
Coverage: December 2002 – March 2022 (45 tickers back to January 1991)
Full-depth pcap files from the IEX exchange, parsed into one-minute OHLCV bars. IEX represents ~2–3% of consolidated volume. Single-exchange view, not full tape.
Coverage: March 2022 – present (updated weekly)
All three versions (Raw, Clean, Filled) are available in eight timeframes, aggregated from the base 1-minute bars: