Even though social media contain rich information on events and public opinions, it is impractical to manually filter this information due to data’s vast generation and dynamicity. Thus, automated extraction mechanisms are invaluable to the community. We need real data with ground truth labels to build/evaluate such systems. Still, to the best of our knowledge, no available social media dataset covers continuous periods with event and sentiment labels together except for events or sentiments. Datasets without time gaps are huge due to high data generation and require extensive effort for manual labelling. Different approaches, ranging from unsupervised to supervised, have been proposed by previous research targeting such datasets. However, their generic nature mainly fails to capture event-specific sentiment expressions, making them inappropriate for labelling event sentiments. Filling this gap, we propose a novel data annotation approach in this paper involving several neural networks. Our approach outperforms the commonly used sentiment annotation models such as VADER and TextBlob. Also, it generates probability values for all sentiment categories besides providing a single category per tweet, supporting aggregated sentiment analyses. Using this approach, we annotate and release a dataset named TED-S, covering two diverse domains, sports and politics. TED-S has complete subsets of Twitter data streams with both sub-event and sentiment labels, providing the ability to support event sentiment-based research.