US Equities Trade and Quote Extended Second 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. Bars are half-open [TimeBarStart, next bar start): OpenBarTime equals the bar start (.000000000) and CloseBarTime is the last nanosecond of the bar (.999999999). The guide's wording ('greater than start') is looser than this. Single-event bars: with only one trade, one NBBO bid or one NBBO ask in the bar, open/high/low/close price, size and time are identical for that side. A bar can have bid/ask OHLC but no trade OHLC. 'Blank' means an empty CSV field (no NULL token). Trade-derived price/time/size fields are blank when the bar has no qualifying trade; share-volume counters are 0 per the guide (see discrepancies for sample deviations). Primary key (Date, Ticker, TimeBarStart) is inferred from the one-file-per-symbol-per-day layout; the files carry no security identifier, so symbol changes/re-use across days are not resolved by this dataset.

Coverage

Top-of-book quotes and trades from 15+ US exchanges and marketplaces via the consolidated SIP (CTA Tape A/B, UTP Tape C); venue names in 'venues' are only the examples the guide gives. Guide scope: all listed stocks, ETNs, ETFs, ADRs and funds; the product page lists common and preferred stocks, ETFs, ETNs, ADRs, warrants and units. Includes trades reported to the FINRA Trade Reporting Facilities. Page: full historical archive plus daily updates; 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 (14)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyProduct page says 'approximately 90' metrics (catalog title '90+ Fields'); the guide intro, Table 1 and the sample header all give 89 columns (the counts agree).
• Documentation discrepancyCloseAskSize is typed 'decimal' in Table 1 while all other sizes are 'integer'; sample values are whole numbers, so it is typed integer here. TotalVolumeWeightPrice is typed 'integer' in Table 1 although it is a VWAP price and sample values are decimals, so it is typed decimal here. RetailTRFBuySize and RetailTRFSellSize are typed 'string' (base event 'Trade, Quote') in this guid…
• Documentation discrepancyTable 1 row order differs from the CSV header order (e.g. OddLotTradeCount, TotalVolume, TotalQuoteCount, TimeWeightSpread, SpreadValidTime, the *Count fields and the *ExcludePRP fields appear after TimeWeightAsk in Table 1 but are interleaved with the volume/trade fields in the header); the sample header order is used.
• Documentation discrepancyTimeBarStart: sample and Table 1 agree on HH:MM:SS for second bars. The FAQ says TimeBarStart can be HHMMSSmmm (millisecond) or HHMMSSmmmiiinnn (nanosecond), which matches neither Table 1 (HH:MM / HH:MM:SS) nor any sample; Table 1 is treated as authoritative.
• Documentation discrepancyBar Notes describe a second bar as 'greater than 13:03:01 to less than 13:03:02', but OpenBarTime is exactly HH:MM:SS.000000000; bars are treated as half-open [start, next start).
• Documentation discrepancyTable 1 still says Open bid/ask price and size are 'Never' missing and describes them as 'as of bar start' although bars are event-based with no carry-forward; the 100 sampled consecutive seconds all have populated Open fields, so gap behaviour is not shown by the sample.
• Documentation discrepancyRelativeSpreadAverage Table 1 text says 'For each minute' while the notes say 'for each second'; the cross-references point to 'RetailBuySize'/'RetailSellSize', which are not column names (RetailTRFBuySize/RetailTRFSellSize).
• Documentation discrepancyVolume is 'Missing = 0' in Table 1, but in the two sampled seconds with only FINRA/TRF trades (09:31:15, 09:31:20) Volume is blank (VolumeWeightPrice and ExchangeTradeCount are blank as documented).
• Documentation discrepancyNBBOQuoteCount is 'Missing = 0' in Table 1, but it is blank in the sampled 09:30:52 bar even though TotalQuoteCount is 160.
• Documentation discrepancyOddLotTradeCount/OddLotTotalShares are Trade-X (exchange) fields per Table 1, yet in the FINRA-only seconds 09:31:15 and 09:31:20 (ExchangeTradeCount blank) they are populated (e.g. 6 trades / 57 shares), so they include TRF odd lots.
• Documentation discrepancyAppendix B lists tPriorReferencePrice (bit 25) among the trade flags excluded from bar calculations, yet Table 1 defines PriorReferencePriceTradeCount/Shares and the *ExcludePRP fields (implying such trades can be in the bars). In the sample the two PRP count fields are blank in all 100 rows, and VolumeWeightPriceExcludePRP / VolumeWeightSpreadExcludePRP equal TotalVolumeWeightPr…
• Documentation discrepancyPriorReferencePriceTradeShares reuses the PriorReferencePriceTradeCount description verbatim ('Number of trades during bar period with condition flag...'), likely copy/paste; shares assumed from the name and Trade-X base event.
• Documentation discrepancyMinor guide typos: 'NNBO' in the NBBOQuoteCount description, 'rade' in HighTradeTime, PriorReferencePriceTradeCount typed 'Integer' with a capital I.