US Equities Trade and 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_taq.csv, 100 rows, AAPL on 2023-08-02); this dataset has no ArdaDB table sample. The JSON preview is identical to the CSV. Closed EventType set per guide Table 3: QUOTE BID, QUOTE BID NB, QUOTE ASK, QUOTE ASK NB, TRADE, TRADE NB, TRADE CANCELLED, TRADE NB CANCELLED; the 100-row sample contains only the first six. Do not sum quote sizes across NB and non-NB rows: an NB row repeats a quote already published by the originating exchange. TRADE NB is a trade at or within the NBBO; the guide recommends TRADE NB for backtesting. Trades away from the NBBO include some FINRA TRF reports, late reports, extended-hours trades (no NBBO pre/post), ISO orders and other trade-through exemptions.

Coverage

All trades and level-1 bid/ask quotes from the SIP consolidated feed (CTA Tape A/B and UTP Tape C) for listed stocks, ETNs, ETFs, ADRs and funds, from 15+ US exchanges and marketplaces (Table 6 lists 21 venues incl. FINRA, plus UNKNOWN/INVALID). History start is not stated; nanosecond timestamps start in 2016, millisecond before.

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 discrepancyConditions width/case: guide Appendix A says flags are eight-character hex and Tables 1/4/5 print them zero-padded (00000001, 80000401); the CSV sample prints lower-case hex with leading zeros dropped (value lengths 1, 3, 7, 8 such as '1', '401', '4000001', 'a0000021').
• Documentation discrepancyExchange spelling: guide Table 6 values 'Nasdaq', 'Nasdaq BX', 'MIAX' appear in the sample as 'NASDAQ', 'NASDAQ BX', 'MIAX PEARL'; the guide itself mixes case ('Nasdaq' vs 'NASDAQ PSX').
• Documentation discrepancyGuide text before Table 6 says '19 SIP Market Center IDs (including FINRA)' but the table lists 21 venues plus UNKNOWN and INVALID; the intro says '15+ exchanges'.
• Documentation discrepancyTime zone is labelled 'EST' in the guide although the 04:00-20:00 session and 09:30/16:00 market hours are local Eastern clock times; DST handling is not stated.
• Documentation discrepancyGuide Table 2 has no 'Missing' column (other algoseek guides do), so null/empty behaviour per field is undocumented; the 100-row sample has no empty cells.
• Documentation discrepancyNBBO paragraph describes a 'crossed NBBO (e.g. the Bid = Offer)'; Bid = Offer is a locked market, crossed means bid > offer (the Daily TAQ guide defines both correctly).
• Documentation discrepancyTrade Only guide Table 3 defines TRADE NB as a trade 'at national best price' and omits TRADE NB CANCELLED; this guide defines TRADE NB as at or within the NBBO and lists TRADE NB CANCELLED.
• Documentation discrepancyNo history start date is given in the guide or on the product page; the sample covers one session slice (AAPL, 2023-08-02, from 09:30:00.000815872).