# 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-trade-only-second-bar-excluding-finra-trf-trades
name: AlgoSeek US Equities Trade Only Second Bar Excluding FINRA/TRF Trades
version: 0.1.0
status: draft
domain: market-data
tags:
- algoseek
- licensed-data
- equity
- us
- bar
description:
  purpose: One row summarizes qualifying on-exchange trades of one US-listed equity in one second (OHLC,
    volume-weighted price, share volume, trade count). FINRA TRF reports and odd lots are excluded, giving
    a high-resolution lit-exchange-only view.
  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. 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.'
  authoritativeDefinitions:
  - type: businessDefinition
    url: https://algoseek.com/dataset/us-equities-trade-only-second-bar-excluding-finra-trf-trades/
  - type: implementation
    url: https://algoseek.com/data-docs/equity-market-data/algoseek.US.EquityTrades.Only.Minute.Bars.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_TRADES_1SEC_NOFINRA}/
  format: csv
  encoding: UTF-8
  customProperties:
  - property: layout
    value: Not documented separately for second bars. The base guide says all of its minute-bar behavior
      applies to other resolutions such as 1-second, so presumably CSV with a header row, gzip-compressed,
      one file per ticker per trading day by date then ticker, header-only when no trades (unconfirmed).
  - 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/trades-1sec-nofinra/: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_trade_only_second_bar_excluding_finra_trf_trades
  physicalName: eq_trades_1sec_nofinra
  physicalType: file
  logicalType: object
  businessName: US Equities Trade Only Second Bar Excluding FINRA/TRF Trades
  description: One row summarizes qualifying on-exchange trades of one US-listed equity in one second
    (OHLC, volume-weighted price, share volume, trade count). FINRA TRF reports and odd lots are excluded,
    giving a high-resolution lit-exchange-only view.
  dataGranularityDescription: one ticker x one trading day x one second that had at least one qualifying
    on-exchange trade
  properties:
  - name: Date
    logicalType: date
    logicalTypeOptions:
      format: yyyymmdd
    physicalType: string (yyyymmdd) (csv text)
    description: Trading date of the bar, in yyyymmdd form.
    primaryKey: true
    primaryKeyPosition: 1
    required: true
    partitioned: true
    partitionKeyPosition: 1
    customProperties:
    - property: evidence
      value: guide+sample
  - name: Ticker
    logicalType: string
    physicalType: string (csv text)
    description: Symbol name (ticker) of the security the bar belongs to.
    primaryKey: true
    primaryKeyPosition: 2
    required: true
    partitioned: true
    partitionKeyPosition: 2
    customProperties:
    - property: evidence
      value: guide+sample
  - name: TimeBarStart
    logicalType: time
    logicalTypeOptions:
      format: HH:MM:SS
    physicalType: string (time) (csv text)
    description: Start time of the bar (US Eastern); HH:MM:SS for second bars. Seconds with no qualifying
      trade are omitted.
    primaryKey: true
    primaryKeyPosition: 3
    required: true
    customProperties:
    - property: evidence
      value: guide+sample
  - name: FirstTradePrice
    logicalType: number
    physicalType: decimal (csv text)
    description: Price of the first qualifying trade in the bar (bar open).
    customProperties:
    - property: unit
      value: USD
    - property: evidence
      value: guide+sample
  - name: HighTradePrice
    logicalType: number
    physicalType: decimal (csv text)
    description: Highest trade price in the bar.
    customProperties:
    - property: unit
      value: USD
    - property: evidence
      value: guide+sample
  - name: LowTradePrice
    logicalType: number
    physicalType: decimal (csv text)
    description: Lowest trade price in the bar.
    customProperties:
    - property: unit
      value: USD
    - property: evidence
      value: guide+sample
  - name: LastTradePrice
    logicalType: number
    physicalType: decimal (csv text)
    description: Price of the last qualifying trade in the bar (bar close).
    customProperties:
    - property: unit
      value: USD
    - property: evidence
      value: guide+sample
  - name: VolumeWeightPrice
    logicalType: number
    physicalType: decimal (csv text)
    description: 'Volume-weighted average trade price: sum(price x shares)/sum(shares). The guide''s printed
      formula wrongly subtracts an NBBO midpoint term.'
    customProperties:
    - property: unit
      value: USD
    - property: evidence
      value: guide+sample
  - name: Volume
    logicalType: integer
    logicalTypeOptions:
      format: i64
    physicalType: integer (csv text)
    description: Total number of shares traded in the bar.
    customProperties:
    - property: unit
      value: shares
    - property: evidence
      value: guide+sample
  - name: TotalTrades
    logicalType: integer
    logicalTypeOptions:
      format: i64
    physicalType: integer (csv text)
    description: Total number of trades in the bar.
    customProperties:
    - property: unit
      value: count
    - 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:
      - Date
      - Ticker
      - TimeBarStart
    dimension: uniqueness
    severity: error
    description: The declared primary key is unique within each delivered partition (one file or table
      snapshot).
  - id: trade_high_ge_low
    type: sql
    description: HighTradePrice is never below LowTradePrice in the same row.
    query: SELECT COUNT(*) FROM {object} WHERE HighTradePrice IS NOT NULL AND LowTradePrice IS NOT NULL
      AND HighTradePrice < LowTradePrice
    mustBe: 0
    dimension: accuracy
    severity: error
  - id: open_close_within_range
    type: sql
    description: 'Open and close usually sit inside the high-low range. Only a warning: some AlgoSeek
      aggregations take open/close from a different event set than high/low (seen in the Daily OHLC sample).'
    query: SELECT COUNT(*) FROM {object} WHERE FirstTradePrice > HighTradePrice OR FirstTradePrice < LowTradePrice
      OR LastTradePrice > HighTradePrice OR LastTradePrice < LowTradePrice
    mustBe: 0
    dimension: accuracy
    severity: warning
  - id: vwap_within_range
    type: sql
    description: VWAP (sum(price*shares)/sum(shares)) lies within the bar's trade range.
    query: SELECT COUNT(*) FROM {object} WHERE VolumeWeightPrice > HighTradePrice OR VolumeWeightPrice
      < LowTradePrice
    mustBe: 0
    dimension: accuracy
    severity: warning
  - id: TotalTrades_non_negative
    type: sql
    description: TotalTrades is never negative.
    query: SELECT COUNT(*) FROM {object} WHERE TotalTrades < 0
    mustBe: 0
    dimension: accuracy
    severity: error
  - id: Volume_non_negative
    type: sql
    description: Volume is never negative.
    query: SELECT COUNT(*) FROM {object} WHERE Volume < 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_trades_1sec_nofinra
- property: vendorSampleUrl
  value: https://as-metadata-services-assets.s3.amazonaws.com/sample_data/cloud_storage/eq_trades_1sec_nofinra.csv
- property: assetClass
  value: equity
- property: venues
  value:
  - NASDAQ
  - BATS
  - NYSE
  - ARCA
- property: coverage
  value: 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.
- property: timezone
  value: America/New_York
- property: timestampFormat
  value: Date yyyymmdd; TimeBarStart HH:MM:SS (bar start only, second resolution, no offset)
- property: sessionHours
  value: 04:00-20:00 ET (pre-market 04:00-09:30, regular 09:30-16:00, post-market 16:00-20:00); early-close
    days end trading at 13:00
- 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: The 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.'
  - 'Doc discrepancy: Sample header matches guide Table 2 (10 columns, same order), with TimeBarStart
    in HH:MM:SS as the guide describes for second bars.'
  - 'Doc discrepancy: Guide''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).'
  - 'Doc discrepancy: Product 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.'
  - 'Doc discrepancy: Appendix 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).'
  - 'Doc discrepancy: Guide''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.'
contractCreatedTs: '2026-11-02T00:00:00Z'