HF Data Library: High-Frequency U.S. Equity Data (1-Minute OHLCV)

The HF Data Library is a free, research-grade collection of 1-minute OHLCV data for 1,391 U.S. equities and ETFs, covering December 2002 through the present (45 tickers extending to January 1991). Data is updated weekly.

Two cleaning versions are provided:

• Raw: data as received from the source, no modifications
• Clean: a documented nine-step cleaning pipeline applied

Primary source (pre-March 2022): PiTrading, derived from the consolidated tape (CTA/UTP). Secondary source (post-March 2022): IEX Exchange HIST.

The data is distributed in Parquet and CSV formats via hfdatalibrary.com. A REST API is available at api.hfdatalibrary.com. 25 pre-computed academic variables per ticker per day are included (volatility, spreads, jump detection, liquidity, autocorrelation, returns).

Intended for academic and research use.