US Options Trade and NBBO Quote

How to use it

Identify a contract by underlying, expiration, strike and call/put. Most options tick files carry no underlying/root column: the underlying comes from the file path or API identifier, so keep it alongside every row you land. Strikes and prices are plain decimals (not scaled). EventType is a bit field: low 4 bits message type, 16 cancel, 32 call, 64 NBBO, 128 buy/bid side. Check OCC special settlements before comparing prices across a corporate action.

Typical use

Options pricing, volatility, and flow research on US-listed equity and index options.

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. Contract identity per row = ExpirationDate + StrikePrice + CallPut within a per-contract (or per-expiration TAR) file; the root/underlying is NOT in the row (no Ticker, no OSI/OCC symbol) and must be taken from the file name/path. StrikePrice and Price are plain decimals in dollars per underlying share (strike 200, price 3.8), not scaled by 1000; the contract multiplier is not in the file. EventType decoding verified on the sample: 100 = 64 NBBO + 32 call + 4 FirmQuote (ask); 228 adds buy side 128 (bid); 38 = 32 call + 6 Rotation; 166 = 128 + 38; 33 = 32 call + 1 Trade. Bit 4 (16) marks a cancelled prior trade/quote; no cancel rows appear in the sample. Action 'FQ NB' = FirmQuote with NBBO flag; quotes are one row per side (228 bid, 100 ask). The Exchange on an NBBO row is the venue posting that best price; many exchanges can post at the same millisecond.

Coverage

Options on equities, ETFs, ETNs and ADRs from the 16 SEC-approved options exchanges via OPRA; guide also mentions a curb session for a list of index options. Page says supplementary open-interest and end-of-day summary events are included. Start date not stated.

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 (17)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyNeither the guide nor the sample has a Ticker/root column: the underlying of each row is only implied by the file, so rows are not self-describing.
• Documentation discrepancyGuide field table orders EventType, Side, Action; the sample header orders EventType, Action, Side.
• Documentation discrepancyGuide documents EventType as 'string'; sample values are decimal integers rendered as text.
• Documentation discrepancyGuide says quotes other than NBBO are filtered out, but the sample contains Rotation rows (EventType 38 and 166, Action 'R') that carry no NBBO flag.
• Documentation discrepancyGuide intro calls the output 'bars' ordered by time although rows are individual events.
• Documentation discrepancyPage says open-interest and end-of-day summary events are included; no such rows appear in the 100-row sample (Action values seen: FQ NB, R, T).
• Documentation discrepancySample Conditions contains '*' on 19 NBBO quote rows; no guide table defines '*' (Table 5 defines space, F, I, R, T, A, B, O, C, X, Y).
• Documentation discrepancyGuide says one file per option contract per trading day, then says contracts of an expiration are bundled in one TAR file; the sample is one contract (CallPut C, strike 200, expiry 20230908).
• Documentation discrepancyIntro describes a curb session 16:15:00-17:00:00 for a list of index options but gives no list of the symbols.
• Documentation discrepancyUnderlying bid exceeds underlying ask in 4 of 100 sample rows (e.g. 195.08 vs 195.07), so the Under* pair is not guaranteed uncrossed.
• Documentation discrepancyGuide intro says 16 options exchanges, but Table 2 lists 31 codes including FINRA, OPRA, SIAC, THOMSON and UNKNOWN.
• Documentation discrepancyGuide Table 6 says bits 0-3 are a '3-bit' message type, but bits 0-3 are 4 bits and Table 7 runs to value 11.
• Documentation discrepancyGuide Table 7 names message type 10 'UnderlyingValueSell' while Table 3 names the matching action 'UnderlyingValueSale'.
• Documentation discrepancyGuide Table 7 has no type 12 (Indicative); Table 3 lists action 'I' = Indicative Value and 'IN' = Invalid with no message-type value. The AlgoSeek decoder convention assigns 12 = Indicative.
• Documentation discrepancyGuide describes Quantity as 'Underlying asset quantity'; sample values (1..3444, quote sizes) behave as option contract counts.
• Documentation discrepancyGuide expands OPRA as 'Options Pricing Authority' while the product pages say 'Options Price Reporting Authority'.