US Equities OTC Quote

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_otc_taq.csv, 100 rows, GBRRF on 2024-01-25); no ArdaDB table sample. The JSON preview is identical to the CSV. Mixed record kinds in one table: QuoteUpdateType 6 rows are derived OTC Link inside-market quotes (MMID and Trader blank, InsideReason set); types 1-5 are individual participant quote events. Filter by type before aggregating sizes to avoid double counting. Blank semantics per guide: MMID, Trader and InsideReason are Blank (empty) where not applicable (MMID/Trader empty on type 6; InsideReason empty on types 1-5); all other fields are 'Never' missing. Unpriced sides use Type U with Price 0 and Size 0 (not empty). In the sample all 34 type-6 rows immediately follow an individual-quote row with the same Timestamp and a QuoteId 3 higher; not every individual update produces an inside row (only when the inside changes), and an inside size can aggregate several participants (e.g. AskSize 2000 vs 1000).

Coverage

All quotes submitted to the OTC Link inter-dealer quotation system and distributed in OTC Markets Group's OTC Quote History file; inside quotes cover quotes entered in OTC Link only (other inter-dealer systems are excluded). History start 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 (7)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyUnsolicitedFlag: guide documents only '1 = Unsolicited Flag True'; every sample row is '0' (an undocumented value, presumably false).
• Documentation discrepancyBidType/AskType: guide lists A, U and OW (bid) / BW (ask); the sample only shows A and U.
• Documentation discrepancyTimestamp: the field table gives no time zone; only the trading-hours section mentions ET. Sample start-of-day records are stamped 00:50:04.760, outside the stated OTC Link hours (06:00-17:00 ET).
• Documentation discrepancyQuoteId is described as 'unique' without a scope; in the sample it is unique per row and rises with time, and each update of the same participant's quote (e.g. MCAP) carries a new QuoteId, so it behaves like a record sequence number rather than a stable id for one quote across its updates.
• Documentation discrepancyPrice precision text (4 decimals under $1, 2 above) is a maximum; sample prices such as 0.742, 0.43 and 0.0001 show 1-4 decimals and unpriced sides are 0.
• Documentation discrepancyNo history start date is given in the guide or on the page; the guide cites 2023-10-25 as an example date and the sample is 2024-01-25.