US Equities Industry Standard Daily OHLC Adjusted

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: S3 CSV (sample_channel s3/cloud_storage, eq_daily_ohlc_ind_std_adj.csv, 100 rows, all 2023-08-02); this dataset does not ship an ArdaDB sample (its unadjusted sibling does). The JSON preview is identical to the CSV. Raw columns (Open ... DailyVWAP) and adjusted columns (*Adj) are delivered together; raw values are unadjusted. Adjusted volumes are whole shares. Backward adjustment: values for past dates are expressed in the terms of the latest corporate-event state, so *Adj values for a historical date change when a later event occurs (per the Adjustment Factors guides, algoseek rebuilds when a new event arrives); the OHLC guide itself states no restatement policy or as-of date. Sample evidence: OpenAdj differs from Open on 6 of 100 rows (e.g. AA: 34.4250 -> 34.3236, ratio 0.99705) and volumes differ on 1 row (AAON 285,855 -> 190,570); ratios for the same ticker/date differ from the algoseek-logic adjusted sample (AA 0.98360), so the two samples were generated as of different dates or event sets.

Coverage

SIP (Consolidated Feed) trades for listed US stocks, ETNs, ETFs, ADRs and funds (page adds common and preferred stocks, warrants and units), with raw and backward-adjusted values side by side. 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 (9)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyTable 3's last row is labelled 'DailyVWAP' but is described as the backward-adjusted whole-day VWAP; the sample column is DailyVWAPAdj.
• Documentation discrepancyField order: the guide says SecId-aggregated files use TradeDate, Ticker, SecId and tradedate-aggregated files put SecId second; the sample (one date, one row per ticker, i.e. tradedate-style) is TradeDate, Ticker, SecId.
• 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; Appendices B and C define them 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.
• Documentation discrepancyGuide cites 'individual events (see Table 3)' for rows, but rows are per-security daily bars (text carried over from tick guides).
• Documentation discrepancyDecimal width: the sample prints Open/High/Low/Close (and Adj) at a fixed 4 decimals (122.0000) and VWAPs at 5 (126.75460), unlike the variable-width values of the ArdaDB sibling.
• Documentation discrepancyGuide has no 'Missing' column, so null/empty behaviour is undocumented (Appendix B says Open/Close are empty if no valid trade after 09:30).
• Documentation discrepancyNo history start date is given in the guide or on the product page.