US Equities Industry Standard 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_ind_std.csv, 100 rows, all 2023-08-02, tickers A..ACMR, ordered by Ticker); there is no S3 file sample for this dataset, and the adjusted sibling is a separate dataset with an S3 sample. The JSON preview is identical to the CSV. Open/Close rule (Appendix B): first/last event from 09:30 with EventType TRADE NB, falling back to TRADE; empty if no valid trade after 09:30. Zero-quantity events still count for Open/Close. From 2026-02-23 the Close for NASDAQ-listed securities prefers the official NASDAQ close when it meets round-lot volume thresholds per price level, else the last TRADE NB; non-NASDAQ logic unchanged (a methodology break; the guide does not say whether history was recomputed). Filtering: exclude Price = 0 and Quantity = 0 trades, trade-cancel events and the original trades that were later cancelled (zero quantity still applies to Open/Close). High/Low: highest/lowest price from 09:30 among trades having at least one include-flag and none of the exclude-flags (opening/closing trades are taken into account); if none qualify, the extreme TRADE NB price is used. Prices can be sub-penny (e.g. 128.725).

Coverage

SIP (Consolidated Feed) trades for listed US stocks, ETNs, ETFs, ADRs and funds (page adds common and preferred stocks, warrants and units). Open/close use first/last NBBO trade rules (Appendix B). 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 discrepancyTable 3 describes Open/Close as the 'Primary exchange opening/closing trade' and points to sections 'Opening Trade Identification' / 'Closing Trade Identification' that do not exist in this guide; Appendices B and C define industry-standard Open/Close as the first/last TRADE NB event from 09:30 (any venue). The guide has Appendices B and C but no Appendix A.
• Documentation discrepancyBar Notes give sum(TradeSize) = MarketHoursVolume for both MarketHoursVWAP and DailyVWAP, although DailyVWAP is whole-day; the intended DailyVWAP denominator (DailyVolume) is not stated.
• Documentation discrepancyGuide cites 'individual events (see Table 3)' for rows, but rows are per-security daily bars (text carried over from tick guides).
• Documentation discrepancySample value formatting is variable-width ('122', '128.725', '24.6888'); the S3 industry-standard adjusted sample prints the same values at fixed width (122.0000).
• Documentation discrepancyNo history start date is given in the guide or on the product page.