US Equities Trade Only Minute 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 sparse: a row exists only if at least one qualifying trade occurred in the interval, so skipped timestamps mean no trades, not zero-volume rows (guide Table 3 shows GDP bars at 10:42, 10:43, 10:45, 10:54, 11:05). A ticker with no trades for the whole day still gets a file containing only the header row; the guide says this happens for low-liquidity tickers that had bid/ask quotes but no trades. A single-trade bar has First = High = Low = Last, and VolumeWeightPrice equals that price (guide example), which confirms VolumeWeightPrice = sum(price x shares)/sum(shares) with no NBBO-midpoint term. Standard variant includes every SIP trade: exchange prints, FINRA TRF prints and odd lots (<100 shares). Guide warns that odd-lot executions can create unrealistic bar highs and lows.

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, taken from the consolidated SIP feed (CTA Tapes A and B, UTP Tape C); includes FINRA TRF off-exchange reports. The guide names NASDAQ, BATS, NYSE and ARCA only as examples. History length is not stated ('full historical archive' on the product page).

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 (6)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancySample header matches guide Table 2 field-for-field and in order (10 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 text introducing Table 2 promises 'name, base event, default value, brief description, and data type', but the table only has Field, Type (Format) and Description; there is no base-event or default/missing column.
• 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.
• Documentation discrepancyAppendix B heading and Table 6 caption for the no-FINRA/TRF logic say 'Trade and Quote Minute Bar' / 'Trade and Quote Events' although this is a trade-only dataset (apparent copy from the TAQ guide).