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US Futures Trade and Quote

GET 
/api/v1/data/us-futures/fut-taq/:trade_date/:ticker

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.

Advanced Filtering

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 Advanced Filtering Guide for the extensive reference.

Request​

Responses​

JSON, CSV file, or gzip-compressed CSV file, depending on the value of response_format query parameter