US Equities Trade Only

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_trades.csv, 100 rows, AAPL on 2023-08-02); no ArdaDB table sample for this dataset. The JSON preview is identical to the CSV. Documented EventType set: TRADE, TRADE NB, TRADE CANCELLED. Treat TRADE NB CANCELLED as an open question (documented only in the TAQ guide) before making the set strictly closed. TRADE NB is the trade type the guide recommends for backtesting; TRADE rows not at the NBBO include some FINRA TRF reports, late reports, extended-hours trades (no NBBO pre/post), ISO orders and trade-through exemptions. Cancellations reduce traded volume by their Quantity, may arrive hours after the original trade and are not adjacent to it; a correction is a cancellation followed by the corrected trade. Consumers computing volume must net them out.

Coverage

All trades on all US public equity exchanges plus off-exchange trades reported to FINRA TRFs, for listed stocks, ETNs, ETFs, ADRs and funds from 15+ exchanges and marketplaces, across the full 04:00-20:00 ET session; no quotes. History start is not stated; nanosecond timestamps from 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 Table 1 prints them as 8 characters (80000401, a0000421); the CSV sample prints lower-case hex with leading zeros dropped (value lengths 1, 3, 7, 8 such as '1', '401', '4000001').
• Documentation discrepancyExchange spelling: guide Table 4 values 'Nasdaq', 'Nasdaq BX', 'MIAX' appear in the sample as 'NASDAQ', 'NASDAQ BX', 'MIAX PEARL'.
• Documentation discrepancyGuide text before Table 4 says '19 SIP Market Center IDs (including FINRA)' but the table lists 21 venues plus UNKNOWN and INVALID; the intro says '15+ exchanges'.
• Documentation discrepancyEventType: guide Table 3 documents three values (TRADE, TRADE NB, TRADE CANCELLED); the TAQ guide also documents TRADE NB CANCELLED. Whether this dataset can emit it is unstated; the sample has only TRADE and TRADE NB.
• Documentation discrepancyTRADE NB is 'trade at national best price' in Table 3 and 'a trade at the National Best Bid Offer' in the NBBO paragraph; the TAQ guide says 'at or within the NBBO'.
• Documentation discrepancyTime zone is labelled 'EST' while session times are local Eastern clock times; DST handling is not stated.
• Documentation discrepancyGuide Table 2 has no 'Missing' column, so null/empty behaviour is undocumented; the 100-row sample has no empty cells.
• Documentation discrepancyNo history start date is given in the guide or on the product page; the sample is one slice (AAPL, 2023-08-02, 09:30:00.014-09:30:00.657).