US Equities Trade Only Second 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. Very sparse: a second appears only if a qualifying trade printed in it. In the sample, 04:00:00 is followed by 04:00:43 and 04:01:09; 78 of 100 sample bars are single-trade bars. 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. Single-trade bars have First = High = Low = Last = VolumeWeightPrice in the sample (78 rows), confirming VolumeWeightPrice = sum(price x shares)/sum(shares) with no NBBO-midpoint term. Bar-construction filter (guide Appendix B): drop Price = 0 (except Trade Cancel events) and Quantity = 0, apply the exclude/include flag lists in enums_and_codes, and count both NBBO and exchange trades. The FINRA exclusion is by Exchange field, not by flag.

Coverage

Same universe, SIP source and exclusions as the ex-FINRA/TRF minute bar, at 1-second resolution. The guide is written for minute bars and only notes that its behavior applies to other resolutions such as 1-second; no second-bar-specific coverage or history length is 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 (7)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyThe linked guide is the minute-bar guide; second bars appear only in a one-line note and in the TimeBarStart format (HH:MM:SS). Guide Table 1/3 examples are all minute bars, so nothing second-specific is documented.
• Documentation discrepancySample header matches guide Table 2 (10 columns, same order), with TimeBarStart in HH:MM:SS as the guide describes for second bars.
• 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 no-FINRA variant also excludes odd lots. Sample bars all have at least 100 shares, consistent with 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'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.