US Equities Adjusted Trade Only

How to use it

Times are local US Eastern clock times (DST-aware), not UTC. Treat TRADE NB / NBBO-flagged rows as the backtest-grade subset. Cancellations reference earlier trades and can arrive hours later, so aggregate only after the session closes. Prices are unadjusted unless the dataset name says Adjusted; join us-equities-*-adjustment-factors on SecId for adjustment.

Typical use

Backtesting, execution and microstructure research, feature engineering for US equities.

Limitations

Delivered as recorded from the source feed: AlgoSeek does not remove crossed or locked quotes, bad prints, or out-of-sequence packets unless contracted to. Consumers own cleaning. Sample channel: ArdaDB (sample_channel ardadb/database_table, eq_trades_adj.csv, 100 rows, AAPL on 2023-08-02 12:29:37-12:29:41); there is no S3 file sample for this dataset. The JSON preview is identical to the CSV. Adjustment evidence (inferred, not documented): in the sample every row has PriceAdjFactor 0.998651458110918 and VolumeAdjFactor 1; Price divided by the factor gives sub-penny raw-style prices (e.g. 191.6712 / 0.99865 = 191.93), so Price already includes the factor and must not be adjusted again. The factor is constant across all 100 sample rows (one trading date, one ASID), so it behaves as a per-security, per-date value repeated on each tick (inferred). Backward-adjusted history is restated when later corporate actions occur (per the Adjustment Factors guides: factors are rebuilt when a security has a new event); adjusted Price/Quantity for a past date are therefore not stable over time. The Trade Only guide does not state a restatement policy.

Coverage

Corporate-action-adjusted tick-level US equity trades from the SIP Last Sale feed; the product page advertises adjusted prices and volumes since 2007. The shared Trade Only guide covers the raw feed (listed US equities, all exchanges plus FINRA TRFs, 04:00-20:00 ET) and does not mention adjustment.

Answers to common questions

What time zone are the timestamps in?

US Eastern local time with daylight saving (the guides label it EST/ET).

Are prices adjusted for splits and dividends?

Only in datasets whose name contains Adjusted; all others are as traded.

Usage constraints

• Licensed vendor data: never export raw rows to a tenant-local destination or include them verbatim in a public artifact; serve only through entitlement-checked platform reads.
• Do not treat the vendor's `Ticker` as a stable identity across time; join on an AlgoSeek security key (SecId or ASID, which are distinct) or the platform symbol mapping.

Known issues (8)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyThe only linked guide (Trade Only v2.7) does not document any adjusted-product field: ASID, PriceAdjFactor, VolumeAdjFactor and the adjustment method appear nowhere in it.
• Documentation discrepancyRenamed or reshaped versus the guide: Date -> TradeDate (yyyymmdd -> YYYY-MM-DD), Timestamp -> EventDateTime (date and time merged, always 9 fractional digits), Conditions -> ConditionCode (lower-case hex string -> decimal integer).
• Documentation discrepancyGuide says output is gzip CSV per symbol per day with millisecond timestamps before 2016; the sample is an ArdaDB table whose EventDateTime always has nanosecond-width fractions.
• Documentation discrepancyProduct page says 'since 2007' but the guide documents no history start; coverage_start 2007 comes from the page text only.
• Documentation discrepancyGuide's Price is raw; here Price is the adjusted value (4 decimals), so values will not match the raw Trade Only/TAQ prices.
• Documentation discrepancyExchange spelling follows the sample ('NASDAQ') rather than the guide's table ('Nasdaq').
• Documentation discrepancyGuide has no 'Missing' column; the sample has no empty cells.