US Equities Daily OHLC

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_daily_ohlc.csv, 100 rows, all 2023-08-02, ordered by Ticker); no S3 file sample for this unadjusted dataset (the adjusted sibling has one). The JSON preview is identical to the CSV. Zero means missing in this channel: 6 of 100 sample rows have at least one of Open/High/Low/Close = 0 and 6 have FINRA volume 0, where the S3 adjusted sample shows empty cells for the same securities. Contract validations should treat 0 prices as 'no qualifying trade', not a real price. Open/Close come from the primary exchange by priority (official open/close with the largest volume, opening/closing print, regular open/close, regular first/last, then non-FINRA TRADE NB and TRADE fallbacks); High/Low are the extreme non-FINRA trades within market hours excluding odd lots, extended-hours and special-price trades. Because Open/Close and High/Low use different trade populations, Low <= Open,Close <= High is NOT guaranteed: among the 94 sample rows with all four prices > 0, 12 have High below max(Open, Close) and 13 have Low above min(Open, Close) (e.g. AAA: open 24.63, high 24.68, low 24.68, close 24.66).

Coverage

SIP (Consolidated Feed) trades for all listed US stocks, ETNs, ETFs, ADRs and funds, built with algoseek's Open/High/Low/Close selection logic; page says files are categorised by date and ticker. History start not stated.

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 discrepancyThe linked guide is the ADJUSTED-product guide; this dataset is the unadjusted sibling, so the guide's SecId and the ten *Adj columns (OpenAdj ... DailyVWAPAdj) have no counterpart in this sample.
• Documentation discrepancyIdentifier: the guide uses SecId (integer); the sample carries ASID (16-digit) and no SecId. ASID and SecId are different values (ticker A: SecId 32952 in the S3 samples, ASID 1010000000001000 here).
• Documentation discrepancyPrice column names: guide Open/High/Low/Close, sample OpenPrice/HighPrice/LowPrice/ClosePrice.
• Documentation discrepancyTradeDate: guide says string yyyymmdd; the ArdaDB sample uses YYYY-MM-DD with hyphens.
• Documentation discrepancyGuide Table has no 'Missing' column, so null/empty behaviour is undocumented.
• Documentation discrepancyMissing-value representation differs by channel: where the S3 adjusted sample for the same rows is empty (e.g. AACT.U all four prices, AACT High/Low, ACABW FINRA volumes) this ArdaDB sample prints 0.
• Documentation discrepancyProduct page says 'Files are systematically categorized by date and ticker'; the guide describes tradedate (all symbols per day) and secid (all days per security) aggregations.
• Documentation discrepancyThe guide's volume section and Table 3 refer to ListedMarketHoursVolume, ListedTotalVolume, FinraMarketHoursVolume and FinraTotalVolume, which are Daily TAQ columns and do not exist in this dataset; the flag name 'tOpenindPrints' and 'tDerivativelyPrices' are typos for tOpeningPrints / tDerivativelyPriced.
• Documentation discrepancyGuide says rows are 'individual events (see Table 1)'; rows are per-security daily bars (carried-over text).
• Documentation discrepancyNo history start date is given in the guide or on the product page.