elkassabgi/hfdatalibrary

HF Data Library: 1-Minute U.S. Equity Data from IEX

Notice (October 2026): downloads are paused while the database is restructured. The dataset now contains IEX Exchange HIST data only, from March 7, 2022 onward. Data before March 7, 2022 is no longer offered.

Maintainer: Ahmed Elkassabgi, University of Central Arkansas ORCID: 0000-0002-5926-7493 Permanent DOI: 10.5281/zenodo.19501604

Where to download

This Hugging Face repository contains documentation only. The data is hosted at:

➡️ https://hfdatalibrary.com

Downloads are paused during the restructuring. When they return, data will be available as direct downloads (Parquet or CSV) or through the REST API at https://api.hfdatalibrary.com, after free registration.

What's in the dataset

• U.S. equities and ETFs
• 1-minute OHLCV bars built from IEX Exchange HIST trade reports
• March 7, 2022 – present
• Daily automated updates

Cleaning versions

Two cleaning versions are provided:

• Raw: bars built from the IEX trade reports between 09:30 and 16:00 ET, with the price adjustment described below and no other changes
• Clean: the documented cleaning pipeline applied, including outside-hours removal, OHLC violations, duplicates, zero-volume bars, extreme-return bars and a Brownlees-Gallo outlier filter

A gap-filled version is intentionally not distributed. Researchers who need a regular grid can apply LOCF to the Clean version themselves.

Available timeframes

Timeframe	Description
1-minute	Base data (highest resolution)
5-minute	Aggregated from 1-minute
15-minute	Aggregated from 1-minute
30-minute	Aggregated from 1-minute
Hourly	Aggregated from 1-minute
Daily	Open-to-close per trading day
Weekly	Aggregated to trading weeks
Monthly	Aggregated to calendar months

Pre-computed academic variables

25 variables computed daily for each ticker in each cleaning version:

Volatility (5): Realized variance (1-min and 5-min sampling), bipower variation (BNS 2004), Parkinson (1980), Rogers-Satchell (1991)

Spreads (2): Roll (1984) implied spread, Corwin-Schultz (2012) high-low spread

Autocorrelation (3): First-order return autocorrelation, variance ratio (5-min), variance ratio (10-min)

Jump detection (3): BNS z-statistic, BNS jump indicators at 1% and 5% levels

Liquidity (4): Amihud (2002) illiquidity ratio, daily dollar volume, share volume, traded bars (1-minute bars with volume)

Data quality (4): Gap rate, observed bars per day, longest gap, max bars since last trade

Returns (4): Open-to-close return, overnight return, daily high-low range, intraday return standard deviation

Data source

IEX Exchange HIST only. IEX is roughly 2–3% of consolidated U.S. volume, so volumes, and some prices, differ from the full consolidated tape.

File schema

Each ticker is a single Parquet (or CSV) file. For 1-minute data:

Column	Type	Description
datetime	datetime64	Bar timestamp (Eastern Time)
Open	float64	Opening price
High	float64	Highest price during the bar
Low	float64	Lowest price during the bar
Close	float64	Closing price
Volume	int64	Shares traded on IEX
source	string	"iex"

Prices and volumes are adjusted for stock splits. Prices from March 7, 2022 to March 27, 2026 are also adjusted backward for cash dividends and most spin-off distributions with an ex-date on or before March 27, 2026; later distributions are not applied. Higher timeframes (5-min, 15-min, daily, etc.) follow the same schema with the datetime column resampled to the chosen interval.

License

The compilation and documentation are licensed under Creative Commons Attribution 4.0 International. IEX retains all rights in the underlying securities information (see the attribution below).

How to cite

@dataset{elkassabgi2026hfdatalibrary,
  author    = {Elkassabgi, Ahmed},
  title     = {{HF Data Library: High-Frequency U.S. Equity Data (1-Minute OHLCV)}},
  year      = {2026},
  publisher = {Zenodo},
  doi       = {10.5281/zenodo.19501604},
  url       = {https://hfdatalibrary.com}
}

Links

• Website: https://hfdatalibrary.com
• Documentation: https://hfdatalibrary.com/pages/docs
• Data dictionary: https://hfdatalibrary.com/pages/dictionary
• Zenodo: https://doi.org/10.5281/zenodo.19501604
• Contact: admin@hfdatalibrary.com

Upstream source attribution (required)

All bars are derived from IEX market data and reflect IEX-only trading activity (roughly 2–3% of consolidated volume — a reference point, not the full tape). If you redistribute or provide access to this data, include: “Data provided for free by IEX. By accessing or using IEX Historical Data, you agree to the IEX Historical Data Terms of Use.”