US Equities Industry Standard Trade Only 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. Industry-standard bar filter (guide Appendix B): drop Price = 0, Quantity = 0, Trade Cancel events and the original trade that was later cancelled; apply the exclude/include flag lists in enums_and_codes; count both NBBO and exchange trades. This differs materially from the standard bar (e.g. tOutOfSequence is kept, tCash/tNextDay/tOddLot are dropped). Cross-dataset check on the same AAPL 2023-08-02 09:30 bar: industry standard 761,329 shares / 1,450 trades vs standard 848,436 / 7,183 and ex-FINRA 663,233 / 1,075. Odd lots (<100 shares) are excluded via tOddLot, but FINRA TRF reports are not excluded by Exchange field in this logic, so TRF prints that pass the flag rules remain. Bars are sparse: a row exists only if at least one qualifying trade occurred in the interval, so skipped timestamps mean no trades, not zero-volume rows (guide Table 3 shows GAL bars at 10:06, 10:13, 10:25).

Coverage

Trades for all listed US stocks, ETNs, ETFs, ADRs and funds (page adds preferred stocks, warrants and units) from 16+ US exchanges and marketplaces via the SIP; page says on- and off-exchange trades including FINRA TRF reports are eligible, subject to the industry-standard exclusions (odd lots, cancelled trades, various conditions). History length is 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 (8)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyGuide Table 2 lists 11 fields starting with SecId (integer, AlgoSeek unique security identifier) and Table 1 shows SecId 33449, but the published sample header has only 10 columns and no SecId. SecId is appended as a guide-only column.
• Documentation discrepancyGuide's VolumeWeightPrice formula reads sum(Trade_Shares x (Trade_Price - NBBOMidpoint)) / sum(Trade_Shares), which subtracts a quote-based term that a trade-only dataset cannot have; the same sentence and the guide's own single-trade examples (VWAP equals the trade price) show the intended value is sum(price x shares)/sum(shares).
• Documentation discrepancyGuide intro calls the dataset 'Industry Standard Trade Only Minute Bar Adjusted' although this is the unadjusted dataset (text copied from the adjusted guide); Table 1 and Table 3 sample values are also identical to the standard Adjusted Minute Bar guide's examples (e.g. AAPL 20200825 09:30, 1,059,318 shares / 8,387 trades), so they illustrate layout only and not industry-standar…
• Documentation discrepancyBar Notes (carried over from sibling guides) say minute bar 11:04 spans >11:04 to <11:05, while Appendix B says data are shifted by 1 second from 09:31: 09:30 = 09:30:00.000-09:31:00.999, 09:31 = 09:31:01.000-09:32:00.999. The two statements conflict; Appendix B is the industry-standard-specific one. Whether the shift applies before 09:30 or after the close is not stated.
• Documentation discrepancyGuide says the dataset covers 04:00-20:00 ET including pre- and post-market, but Appendix B excludes events flagged tExtendedHours (bit 13), tCash and tNextDay; the sample covers only 09:30-11:09, so it is unclear how extended-hours bars are populated.
• Documentation discrepancyGuide says daily CSV files are zip-compressed; the other bar guides say gzip. The sample is a plain CSV.
• Documentation discrepancyCatalog <title> for this (unadjusted) page reads 'Industry Standard Trade Only Minute Bar, Adjusted | algoseek', identical to the adjusted page's title.