US Equities Trade Only Minute Bar Excluding FINRA/TRF Trades

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. Exclusion scope is both FINRA/TRF reports and odd lots. Consistent with this, no bar in the ex-FINRA samples has fewer than 100 shares, whereas the standard adjusted sample (2020 pre-market AAPL) contains bars of 2-99 shares.

Coverage

Same universe and SIP source as the standard Trade Only Minute Bar, restricted to trades executed on public exchanges: all FINRA/TRF reports and odd lots (<100 shares) are excluded. 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 (8)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancySample header is identical to the standard variant and to guide Table 2 (10 columns, same order); 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 discrepancyProduct page says only that off-exchange FINRA/TRF trades are excluded; the guide's variant name and Appendix B also exclude odd lots (<100 shares) via the tOddLot flag. The page does not mention the odd-lot exclusion.
• 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).
• Documentation discrepancyGuide Table 6 (excluded flags) and Table 7 (included flags) span a page break and print out of order in the text extraction; reassembled here from the raw PDF text.
• 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 discrepancyGuide text introducing Table 2 promises 'base event' and 'default value' columns that the table does not have.