US Equities Industry Standard Trade Only Minute Bar 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. Backward adjustment: *Adjusted columns are rebuilt whenever a new corporate event is published for the SecId, so earlier adjusted values are restated and the SecId history must be re-downloaded (guide Daily Updates). Treat the dataset as restating, not append-only. Raw columns are as-traded and stay fixed; only the *Adjusted columns move with new events. Verified in the sample (AAPL 2023-08-02, SecId 33449): every adjusted/raw price ratio is about 0.998651 (the same value as PriceAdjFactor in the ex-FINRA adjusted sample) and VolumeAdjusted = Volume in all 100 rows (no volume-affecting event after that date). Events that change price vs volume are listed under enums_and_codes (guide Corporate Events table).

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, with industry-standard exclusions (odd lots, cancelled trades, various conditions), including pre/post-market hours. 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 discrepancySample header matches guide Table 2 field-for-field and in order (17 columns); no column differences.
• 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 Table 1 and Table 3 sample values are identical to the standard Adjusted Minute Bar guide's examples (AAPL 20200825 09:30, 1,059,318 shares / 8,387 trades), so they illustrate layout only and not industry-standard output (the real 2023 sample's first bar is 761,329 / 1,450).
• 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.
• 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 extended-hours content is unverified.
• Documentation discrepancyGuide's Table 1 example (AAPL 20200825) shows an adjusted/raw price ratio of exactly 0.25 and VolumeAdjusted = 4 x Volume (split only), whereas the sample (AAPL 20230802) has a ratio of about 0.998651 and VolumeAdjusted = Volume; the examples are older snapshots and the exact adjustment method is not spelled out.
• Documentation discrepancyAbout 15 sample VolumeWeightPrice values carry floating-point noise (14 fractional digits, e.g. 194.78498000000002); adjusted columns use fixed 4-decimal prices and 5-decimal VWAP.