ODCS v3.2.0Draft · 0.1.0licensed-dataequityusbar

US Equities Trade Only Adjusted Minute Bar

One row is a one-minute trade-only bar for one US-listed equity with both as-traded OHLC/VWAP/volume/trade count and a parallel set of backward-adjusted prices and volume that account for splits, dividends and other corporate actions. Includes FINRA TRF prints and extended hours.

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: the *Adjusted columns are rebuilt whenever a new corporate event is published for the SecId, so previously delivered adjusted values are restated and the full SecId history must be re-downloaded (guide Daily Updates). Treat the dataset as restating, not append-only. Raw columns (FirstTradePrice ... Volume) are as-traded and stay fixed; only the *Adjusted columns move with new events. Verified in the sample (AAPL 2020-01-28, SecId 33449): every adjusted price / raw price ratio is about 0.248287 and VolumeAdjusted = 4.0 x Volume in all 100 rows, consistent with the 4-for-1 split plus price-only adjustments such as cash dividends (guide Table 4: Cash Dividend affects price but not volume). Events that change price vs volume are listed under enums_and_codes (Table 4 of the guide).

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 consolidated SIP feed, including pre/post-market hours and FINRA TRF off-exchange reports. History length is not stated.

Venues (5)

NASDAQ
BATS
NYSE
ARCA
FINRA Trade Reporting Facilities (TRF)

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 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's Table 1 example (AAPL 20200825) shows an adjusted/raw price ratio of exactly 0.25 and VolumeAdjusted = 4 x Volume (split only), while the downloadable sample (AAPL 20200128) shows a price ratio of about 0.24829 and the same 4x volume factor. The guide example appears to be an older snapshot taken before later dividend adjustments; the guide does not spell out the exact ad…
Documentation discrepancyGuide describes two versions (Standard and No-FINRA/TRF and Odd Lots) of the adjusted dataset but has no ex-FINRA schema; the separate ex-FINRA adjusted product uses a different 13-column layout.
Documentation discrepancyGuide has no Appendix B (bar-calculation rules or trade-flag lists) for the adjusted bars, unlike the base Minute Bar guide.
Documentation discrepancyGuide cover title is 'US Equity Trade Only Minute Bar Adjusted Guide' but running headers say 'US Equity Trade Only Adjusted Minute Bar Guide'.
Documentation discrepancyAbout 16 sample VolumeWeightPrice values carry floating-point noise (14 fractional digits, e.g. 310.31813999999997); the guide shows at most 5 decimals.
Documentation discrepancyGuide's Bar Notes word the bar interval as strictly 'greater than' the start time and 'less than' the next boundary (minute bar 11:04 = >11:04 to <11:05; second bar 13:03:01 = >13:03:01 to <13:03:02). Read literally this excludes a trade stamped exactly on the start; whether the start is actually inclusive is not stated.

17 columns in delivery order · file or table name eq_trades_1min_adj. Types are ODCS logical types; the format line shows how values are written.

Schema columns with type, key role and description
Column	Type	Key	Description
SecId	integeri64	Key 1 · Partition · Required	AlgoSeek unique security identifier; survives ticker changes but can change on restructurings such as reclassification. Source: vendor guide and sample
Date	dateyyyymmdd	Key 2 · Partition · Required	Trading date of the bar, in yyyymmdd form. Source: vendor guide and sample
Ticker	string		Symbol name (ticker) of the security the bar belongs to. Source: vendor guide and sample
TimeBarStart	timeHH:MM	Key 3 · Required	Start time of the bar (US Eastern); HH:MM for minute bars. Bars with no qualifying trade are omitted. Source: vendor guide and sample
FirstTradePrice	number		Price of the first qualifying trade in the bar (bar open). Unit: USD · Source: vendor guide and sample
HighTradePrice	number		Highest trade price in the bar. Unit: USD · Source: vendor guide and sample
LowTradePrice	number		Lowest trade price in the bar. Unit: USD · Source: vendor guide and sample
LastTradePrice	number		Price of the last qualifying trade in the bar (bar close). Unit: USD · Source: vendor guide and sample
VolumeWeightPrice	number		Volume-weighted average trade price: sum(price x shares)/sum(shares). The guide's printed formula wrongly subtracts an NBBO midpoint term. Unit: USD · Source: vendor guide and sample
Volume	integeri64		Total number of shares traded in the bar. Unit: shares · Source: vendor guide and sample
TotalTrades	integeri64		Total number of trades in the bar. Unit: count · Source: vendor guide and sample
FirstTradePriceAdjusted	number		Backward-adjusted price of the first trade in the bar. Unit: USD · Source: vendor guide and sample
HighTradePriceAdjusted	number		Backward-adjusted highest trade price in the bar. Unit: USD · Source: vendor guide and sample
LowTradePriceAdjusted	number		Backward-adjusted lowest trade price in the bar. Unit: USD · Source: vendor guide and sample
LastTradePriceAdjusted	number		Backward-adjusted price of the last trade in the bar. Unit: USD · Source: vendor guide and sample
VolumeWeightPriceAdjusted	number		Backward-adjusted volume-weighted average price of the bar. Unit: USD · Source: vendor guide and sample
VolumeAdjusted	integeri64		Backward-adjusted total number of shares traded in the bar. Unit: shares · Source: vendor guide and sample

errorrow_count_positivecompleteness
Every delivered partition (trade date, or snapshot) carries at least one row.
rowCount must be greater than 0
errorprimary_key_uniqueuniqueness
The declared primary key is unique within each delivered partition (one file or table snapshot).
duplicateValues (properties: SecId, Date, TimeBarStart) must be 0

errortrade_high_ge_lowaccuracy

HighTradePrice is never below LowTradePrice in the same row.

SELECT COUNT(*) FROM {object} WHERE HighTradePrice IS NOT NULL AND LowTradePrice IS NOT NULL AND HighTradePrice < LowTradePrice

warningopen_close_within_rangeaccuracy
Open and close usually sit inside the high-low range. Only a warning: some AlgoSeek aggregations take open/close from a different event set than high/low (seen in the Daily OHLC sample).
```
SELECT COUNT(*) FROM {object} WHERE FirstTradePrice > HighTradePrice OR FirstTradePrice < LowTradePrice OR LastTradePrice > HighTradePrice OR LastTradePrice < LowTradePrice
```

warningvwap_within_rangeaccuracy

VWAP (sum(price*shares)/sum(shares)) lies within the bar's trade range.

SELECT COUNT(*) FROM {object} WHERE VolumeWeightPrice > HighTradePrice OR VolumeWeightPrice < LowTradePrice

errorTotalTrades_non_negativeaccuracy
TotalTrades is never negative.
```
SELECT COUNT(*) FROM {object} WHERE TotalTrades < 0
```
errorVolume_non_negativeaccuracy
Volume is never negative.
```
SELECT COUNT(*) FROM {object} WHERE Volume < 0
```

Key (inferred): SecId, Date, TimeBarStart; The vendor does not name a key; this one is inferred from the documentation.
One row is: one SecId (ticker) x one trading day x one minute that had at least one qualifying trade
Time zone: US Eastern (America/New_York)
Timestamp format: Date yyyymmdd; TimeBarStart HH:MM (bar start only, minute resolution, no seconds or offset)
Session: 04:00-20:00 ET (pre-market 04:00-09:30, regular 09:30-16:00, post-market 16:00-20:00); early-close days end trading at 13:00
Price adjustment: Adjusted - backward adjustment for corporate events (columns suffixed Adjusted); raw as-traded values are delivered alongside; whole SecId history restated on each new event
Delivery: S3 flat files, REST API

Download contract YAML Open in Data Contract Editor

Vendor sources

Draft contract 0.1.0. Contract id urn:alphaswarm:datacontract:algoseek:us-equities-trade-only-adjusted-minute-bar

Contracts follow the Open Data Contract Standard (Bitol, LF AI & Data).

Vendor names are trademarks of their owners.

How to use it

Typical use

Limitations

Coverage

Venues (5)

Answers to common questions

Usage constraints

Known issues (9)

Delivery

S3 flat files

REST API

Service levels