US Equities Buy/Sell Pressure and Retail Indicators Minute Bar

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. Bars are half-open [TimeBarStart, next bar start): OpenBarTime equals the bar start (.000000000) and CloseBarTime is the last nanosecond of the bar (.999999999). The guide's wording ('greater than start') is looser than this. 'Blank' means an empty CSV field (no NULL token). Trade-derived price/time/size fields are blank when the bar has no qualifying trade; share-volume counters are 0 per the guide (see discrepancies for sample deviations). Primary key (Date, Ticker, TimeBarStart) is inferred from the one-file-per-symbol-per-day layout; the files carry no security identifier, so symbol changes/re-use across days are not resolved by this dataset. Continuous minute bars: a row for every minute from 04:00 ET until the last exchange closes; the guide's carry-forward and quote price-filter rules apply to the underlying NBBO but the file exposes only MinSpread/MaxSpread and RelativeSpreadAverage.

Coverage

All listed stocks, ETNs, ETFs, ADRs and funds from 15+ US exchanges and marketplaces via the consolidated SIP (CTA Tape A/B, UTP Tape C); the product page says the full universe of exchange-listed equities (common stocks, ETFs, ETNs, ADRs, funds). Includes FINRA/TRF-reported trades (venue names in 'venues' are only the guide's examples). Page: full historical archive plus daily updates; history start not stated. Guide release 1.0.0 effective 4 Feb 2025.

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 (11)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyPage and catalog describe a 'Minute Bar' of indicators without a column count; the guide's field table (Table 2), the guide sample and the CSV header all give 37 columns (the counts agree). Table 1 in this guide is a sample-data table and Table 2 the schema.
• Documentation discrepancyTimeBarStart: sample and Table 2 agree on HH:MM. The FAQ cites HHMMSSmmm / HHMMSSmmmiiinnn, which matches neither; Table 2 is treated as authoritative.
• Documentation discrepancyBar Notes describe a minute bar as 'greater than 11:04 to less than 11:05', but OpenBarTime is exactly HH:MM:00.000000000; bars are treated as half-open [start, next start).
• Documentation discrepancyThe ExchangeVolume description says 'TotalVolume = Volume + FinraVolume', but there is no Volume column in this file (ExchangeVolume replaces it); sample rows satisfy ExchangeVolume + FinraVolume = TotalVolume.
• Documentation discrepancySentiment horizon: the field table describes the Sentiment indicators as pressure 'cycles' with '1-week cycles' as the example, while the Additional Indicators section defines them over 1-hour cycles as MovingAverage(relative net flow); the window and averaging method are not specified.
• Documentation discrepancyOddLotTradeCount and OddLotTotalShares are described as odd lots 'from public exchanges only' (Trade-X), but OddLotTradeCount exceeds ExchangeTradeCount in all 100 sampled bars (e.g. 6754 vs 1844), so they evidently include TRF-reported odd lots.
• Documentation discrepancyTRFRetailPress (and the other metrics) are 'Blank' when not calculable per Table 2, but TRFRetailPress is 0 (not blank) in sampled bars where RetailTRFBuySize and RetailTRFSellSize are both blank, and OddLotTRFRetailRatio is 1 there.
• Documentation discrepancyTRFRetailBuySellRatio is blank in 5 sampled bars where RetailTRFBuySize is blank and RetailTRFSellSize is positive, although RelNetTRFRetailFlow is -1 and TRFRetImbalance 0 in the same bars; the guide does not define a rule for a zero numerator.
• Documentation discrepancyTRFRetSentiment is non-blank (e.g. 1) in sampled bars whose own TRF retail sizes are both blank and blank only in the first bar, so it is carried from earlier bars; the guide does not describe this.
• Documentation discrepancyBar Notes cite VolumeWeightSpread and SpreadValidTime (apparent leftovers from the Extended guide), which are not columns of this dataset.