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.

Attribution — bars dated 2022-03-07 onward are derived from IEX market data. Data provided for free by IEX. By accessing or using IEX Historical Data, you agree to the IEX Historical Data Terms of Use (https://www.iex.io/legal/hist-data-terms). The CC BY 4.0 grant covers the compilation, documentation, and pre-2022 portion.