# Generated by tools/build_contracts.py from tools/algoseek_catalog.py -- do not edit by hand. # Open Data Contract Standard v3.2.0 (https://bitol-io.github.io/open-data-contract-standard/). apiVersion: v3.2.0 kind: DataContract id: urn:alphaswarm:datacontract:algoseek:us-equities-otc-quote name: AlgoSeek US Equities OTC Quote version: 0.1.0 status: draft domain: market-data tags: - algoseek - licensed-data - equity - us - tick description: purpose: One row is one quote record from the OTC Link inter-dealer quotation system (individual market-participant quote events plus derived inside-market quotes), as compiled in OTC Markets Group's end-of-day Quote History file. Used to study quoting activity in OTC securities. usage: 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. Sample channel: S3 CSV (sample_channel s3/cloud_storage, eq_otc_taq.csv, 100 rows, GBRRF on 2024-01-25); no ArdaDB table sample. The JSON preview is identical to the CSV. Mixed record kinds in one table: QuoteUpdateType 6 rows are derived OTC Link inside-market quotes (MMID and Trader blank, InsideReason set); types 1-5 are individual participant quote events. Filter by type before aggregating sizes to avoid double counting. Blank semantics per guide: MMID, Trader and InsideReason are Blank (empty) where not applicable (MMID/Trader empty on type 6; InsideReason empty on types 1-5); all other fields are ''Never'' missing. Unpriced sides use Type U with Price 0 and Size 0 (not empty). In the sample all 34 type-6 rows immediately follow an individual-quote row with the same Timestamp and a QuoteId 3 higher; not every individual update produces an inside row (only when the inside changes), and an inside size can aggregate several participants (e.g. AskSize 2000 vs 1000).' authoritativeDefinitions: - type: businessDefinition url: https://algoseek.com/dataset/us-equities-otc-quote/ - type: implementation url: https://algoseek.com/data-docs/equity-market-data/algoseek.US.Equity.OTC.Quote.pdf - type: implementation url: https://algoseek.com/docs/rest-api/reference context: instructions: 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. verifiedStatements: - id: vs1 question: What time zone are the timestamps in? answer: US Eastern local time with daylight saving (the guides label it EST/ET). - id: vs2 question: Are prices adjusted for splits and dividends? answer: Only in datasets whose name contains Adjusted; all others are as traded. constraints: - id: c1 constraint: '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.' - id: c3 constraint: 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. servers: - server: algoseek-s3 type: s3 environment: vendor description: AlgoSeek flat-file delivery (the layout the schema below describes). location: s3://${ALGOSEEK_S3_BUCKET_EQ_OTC_TAQ}/ format: csv encoding: UTF-8 customProperties: - property: layout value: Plain-text CSV with a fixed header row; by default one file per symbol per trading day (e.g. all AAALY events on 2023-10-25 in one file); gzip-compressed (.csv.gz, ~8:1). Source is the OTC Markets Group SFTP server; no bucket/key path is documented. - property: compression value: gzip - property: header value: true - property: entitlement value: Bucket access is granted per subscription; bucket names arrive with license provisioning. - server: algoseek-rest-api type: api environment: vendor description: AlgoSeek Datasets REST API (X-API-KEY header; JSON, CSV or gzipped CSV). Returns AlgoSeek's normalized API layout, which differs from the flat-file columns in this contract's schema. location: https://api.algoseek.com/v1/data/us-equity/otc-taq/:trade_date/:identifier customProperties: - property: auth value: X-API-KEY header issued by AlgoSeek - property: columnsEndpoint value: https://api.algoseek.com/v1/meta/datasets/{dataset_id}/columns - property: statusEndpoint value: https://api.algoseek.com/v1/meta/datasets/{dataset_id}/status - property: responseFormats value: - json - csv - csv_gzip - property: pagination value: offset + limit; tick endpoints take trade_date and identifier (Ticker or ASID) in the path schema: - name: us_equities_otc_quote physicalName: eq_otc_taq physicalType: file logicalType: object businessName: US Equities OTC Quote description: One row is one quote record from the OTC Link inter-dealer quotation system (individual market-participant quote events plus derived inside-market quotes), as compiled in OTC Markets Group's end-of-day Quote History file. Used to study quoting activity in OTC securities. dataGranularityDescription: one quote event (add/update/delete/start-of-day/open-close) by one market participant, or one derived inside-market quote, for one OTC ticker on one trading date properties: - name: TradeDate logicalType: date logicalTypeOptions: format: yyyymmdd physicalType: string (yyyymmdd) (csv text) description: Trading date of the quote record. primaryKey: true primaryKeyPosition: 1 required: true partitioned: true partitionKeyPosition: 1 customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: Timestamp logicalType: time logicalTypeOptions: format: HH:MM:SS.mmm physicalType: string (HH:MM:SS.mmm) (csv text) description: Quote time of day to the millisecond; zone not stated in the field table (guide's trading-hours section uses ET). customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: QuoteUpdateType logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: 'Record type of the quote: update, add, delete, start-of-day, open/close update, or inside-market quote.' required: true enum: - value: '1' label: Update - value: '2' label: Add - value: '3' label: Delete - value: '4' label: Start of Day (quote generated at system start; closed the previous day but not withdrawn/deleted) - value: '5' label: Open/Close Update (caused by a trader open/close status change) - value: '6' label: Inside (OTC Link inside-market quote derived from the individual quotes) customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: Ticker logicalType: string physicalType: string (csv text) description: Security symbol. primaryKey: true primaryKeyPosition: 2 required: true partitioned: true partitionKeyPosition: 2 customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: Name logicalType: string physicalType: string (csv text) description: Security name. required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: BidType logicalType: string physicalType: string (csv text) description: 'Kind of bid: priced, unpriced, or offer wanted.' enum: - value: A label: Actual (priced) - value: U label: Unpriced - value: OW label: Offer Wanted customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: BidPrice logicalType: number physicalType: decimal (csv text) description: 'Bid price: 4 decimals under $1, 2 above; minimum $0.0001, maximum $999,999.99; 0 when the bid is unpriced.' required: true customProperties: - property: unit value: USD - property: nullMeaning value: Never - property: evidence value: guide+sample - name: BidSize logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Bid size in shares, at most 999,999,999; 0 when unpriced. required: true customProperties: - property: unit value: shares - property: nullMeaning value: Never - property: evidence value: guide+sample - name: AskType logicalType: string physicalType: string (csv text) description: 'Kind of ask: priced, unpriced, or bid wanted.' enum: - value: A label: Actual (priced) - value: U label: Unpriced - value: BW label: Bid Wanted customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: AskPrice logicalType: number physicalType: decimal (csv text) description: 'Ask price: 4 decimals under $1, 2 above; minimum $0.0001, maximum $999,999.99; 0 when the ask is unpriced.' required: true customProperties: - property: unit value: USD - property: nullMeaning value: Never - property: evidence value: guide+sample - name: AskSize logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Ask size in shares, at most 999,999,999; 0 when unpriced. required: true customProperties: - property: unit value: shares - property: nullMeaning value: Never - property: evidence value: guide+sample - name: UnsolicitedFlag logicalType: string logicalTypeOptions: format: 0/1 flag physicalType: string (csv text) description: 1 marks an unsolicited quote; the sample only ever shows 0. enum: - value: '1' label: Unsolicited flag true - value: '0' label: not flagged (sample only; the guide documents just '1') customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: MMID logicalType: string physicalType: string (csv text) description: Market participant that submitted the quote; blank on inside quotes (QuoteUpdateType 6). customProperties: - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: Trader logicalType: string physicalType: string (csv text) description: Trader id of the submitting trader; blank on inside quotes (QuoteUpdateType 6). customProperties: - property: nullMeaning value: Blank - property: evidence value: guide+sample - name: OpenCloseStatus logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Whether the quote is open (1) or closed (0); only open quotes feed the inside market. required: true enum: - value: '0' label: Closed - value: '1' label: Open (only open quotes can be considered for the inside) customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: QuoteId logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Unique quote identification number; every one of the 100 sample rows has a different value. primaryKey: true primaryKeyPosition: 3 required: true customProperties: - property: nullMeaning value: Never - property: evidence value: guide+sample - name: InsideReason logicalType: string physicalType: string (csv text) description: Why the inside market changed; populated only when QuoteUpdateType is 6, otherwise blank. enum: - value: Quote Updated label: inside changed by a quote update - value: Quote Added label: inside changed by a new quote - value: Quote Deleted label: inside changed by a quote deletion - value: Trader Open Quote label: inside changed because a trader opened a quote - value: Trader Close Quote label: inside changed because a trader closed a quote customProperties: - property: nullMeaning value: Blank - property: evidence value: guide+sample quality: - id: row_count_positive metric: rowCount mustBeGreaterThan: 0 dimension: completeness severity: error description: Every delivered partition (trade date, or snapshot) carries at least one row. - id: primary_key_unique metric: duplicateValues mustBe: 0 arguments: properties: - TradeDate - Ticker - QuoteId dimension: uniqueness severity: warning description: 'Best-effort key for an event stream: same-timestamp events from one venue can repeat, so duplicates are reported, not rejected.' - id: AskSize_non_negative type: sql description: AskSize is never negative. query: SELECT COUNT(*) FROM {object} WHERE AskSize < 0 mustBe: 0 dimension: accuracy severity: error - id: BidSize_non_negative type: sql description: BidSize is never negative. query: SELECT COUNT(*) FROM {object} WHERE BidSize < 0 mustBe: 0 dimension: accuracy severity: error support: - channel: algoseek-support tool: email url: mailto:support@algoseek.com scope: issues description: Vendor support for data defects, missing days, and entitlement problems. team: name: AlphaSwarm data engineering slaProperties: - id: update_frequency property: frequency value: 1 unit: d driver: analytics - id: retention property: retention value: license-term description: Retention of landed copies is bounded by the AlgoSeek license; purge on termination. driver: regulatory customProperties: - property: vendor value: AlgoSeek - property: vendorDataGroup value: us-equity - property: vendorDatasetTextId value: eq_otc_taq - property: vendorSampleUrl value: https://as-metadata-services-assets.s3.amazonaws.com/sample_data/cloud_storage/eq_otc_taq.csv - property: assetClass value: equity - property: venues value: - OTC Link (OTC Markets Group inter-dealer quotation system) - property: coverage value: All quotes submitted to the OTC Link inter-dealer quotation system and distributed in OTC Markets Group's OTC Quote History file; inside quotes cover quotes entered in OTC Link only (other inter-dealer systems are excluded). History start is not stated. - property: timezone value: America/New_York - property: timestampFormat value: HH:MM:SS.mmm (millisecond) - property: sessionHours value: OTC Markets normal hours Mon-Fri 09:30-16:00 ET; OTC Link ATS operating hours Mon-Fri 06:00-17:00 ET; start-of-day records in the sample are stamped 00:50:04.760 - property: priceAdjustment value: unadjusted - property: licensedData value: true - property: evidenceGrade value: vendor-doc - property: knownIssues value: - Primary key is inferred; AlgoSeek's guide does not name one. - 'Doc discrepancy: UnsolicitedFlag: guide documents only ''1 = Unsolicited Flag True''; every sample row is ''0'' (an undocumented value, presumably false).' - 'Doc discrepancy: BidType/AskType: guide lists A, U and OW (bid) / BW (ask); the sample only shows A and U.' - 'Doc discrepancy: Timestamp: the field table gives no time zone; only the trading-hours section mentions ET. Sample start-of-day records are stamped 00:50:04.760, outside the stated OTC Link hours (06:00-17:00 ET).' - 'Doc discrepancy: QuoteId is described as ''unique'' without a scope; in the sample it is unique per row and rises with time, and each update of the same participant''s quote (e.g. MCAP) carries a new QuoteId, so it behaves like a record sequence number rather than a stable id for one quote across its updates.' - 'Doc discrepancy: Price precision text (4 decimals under $1, 2 above) is a maximum; sample prices such as 0.742, 0.43 and 0.0001 show 1-4 decimals and unpriced sides are 0.' - 'Doc discrepancy: No history start date is given in the guide or on the page; the guide cites 2023-10-25 as an example date and the sample is 2024-01-25.' contractCreatedTs: '2026-11-02T00:00:00Z'