US Equities Primary Exchange Daily OHLC
US Equities Primary Exchange Daily OHLC
Production
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The US Equity Primary Daily OHLC dataset is a daily summary of all publicly traded securities captured from their primary exchange (listing exchange). It includes Open, High, Low, and Close (OHLC) prices along with daily volume information and other useful calculations like volume-weighted average prices (VWAP). The most important difference (and key feature) of this dataset from others available on the market is catching open and close prices from the primary exchange using specific condition codes in recent years and sophisticated methodology for further history. Other providers usually use the first and last trades available through the trading date, including market and post-market sessions. The accuracy and specificity of this dataset make it good for quantitative and algorithmic trading and machine learning purposes.
Dataset Info
Dataset Name ID
eq_daily_ohlc_primary
Algoseek Dataset ID
US1013
Data Format
Market Data
Data Class
Equity
Data Type
EOD
Time Granularity
Daily
Region
US
Universe
All stocks, ETFs/ETNs from US exchanges
Version
1.0
Update Frequency Options
End of day
Start Date
01/01/2023
End Date
12/31/2023
Access Methods
SQL
Description
One year of data (2023) for the full universe of symbols
Data Size
673 MB / year
Update Size
2.7 MB
Update Frequency
1 Day
Start Date
2007-01-01
End Date
Ongoing
SQL (ArdaDB)
Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
USEquityMarketData.PrimaryOHLCDaily
Update Time
01:00 ET
Database Table
USEquityMarketData.PrimaryOHLCDaily
Database Schema
USEquityMarketData
Object Type
Table
Primary Date Column
TradeDate
Timestamp Column
--
Internal ID Column
--
Identifier Column
Ticker
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | TradeDate | Date | The trading day |
| 2 | Ticker | String | Symbol name |
| 3 | ASID | Integer | A unique identifier for a security |
| 4 | Name | String | Company name |
| 5 | PrimaryExchange | String | The Primary listing exchange on this trading day |
| 6 | ISIN | String | International Securities Identification Number |
| 7 | OpenTime | TimeStamp | Time of the primary exchange opening trade |
| 8 | OpenPrice | Decimal | Primary exchange opening trade |
| 9 | OpenSize | Integer | Number of shares of the primary exchange opening trade |
| 10 | HighTime | TimeStamp | Time of the highest trade |
| 11 | HighPrice | Decimal | The highest trade price from any exchange or TRF |
| 12 | LowTime | TimeStamp | Time of the lowest trade |
| 13 | LowPrice | Decimal | The lowest trade price from any exchange or TRF |
| 14 | CloseTime | TimeStamp | Time of the primary exchange closing trade |
| 15 | ClosePrice | Decimal | Primary exchange closing trade |
| 16 | CloseSize | Integer | Number of shares of the primary exchange closing trade |
| 17 | ListedMarketHoursVolume | Integer | A trading volume during regular market hours on public listed exchanges |
| 18 | ListedMarketHoursTrades | Integer | A total number of trades during regular market hours on public listed exchanges |
| 19 | ListedTotalVolume | Integer | A trading volume for the whole day on public listed exchanges |
| 20 | ListedTotalTrades | Integer | A total number of trades for the whole day on public listed exchanges |
| 21 | FinraMarketHoursVolume | Integer | FINRA/TRF trading volume during regular market hours |
| 22 | FinraMarketHoursTrades | Integer | A total number of FINRA/TRF trades during regular market hours |
| 23 | FinraTotalVolume | Integer | FINRA/TRF trading volume for the whole day |
| 24 | FinraTotalTrades | Integer | A total number of FINRA/TRF trades for the whole day |
| 25 | MarketVWAP | Decimal | Volume-weighted average price during regular market hours plus the Opening and Closing Cross |
| 26 | DailyVWAP | Decimal | Volume-weighted average price for the whole day |
CSV (S3)
Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
us-equity-daily-ohlc-primary-secid-yyyy
S3 Bucket Name
us-equity-daily-ohlc-primary-secid-yyyy
Update Time
01:00 ET
S3 Bucket Path
xx/xxxxx.csv
S3 Bucket Path Description
One csv file per SecId grouped into folders by first two digits where xx - two leading digits of SecId, xxxxx - SecId
S3 Start Year
2007
S3 End Year
N/A
S3 Bucket Size
679 MB / year
Sample Data File
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | TradeDate | String | Trading date in yyyymmdd format |
| 2 | SecId | Integer | algoseek unique Security ID |
| 3 | Ticker | String | Symbol name |
| 4 | Name | String | Name of equity security |
| 5 | PrimaryExchange | String | Primary listing exchange on this TradeDate |
| 6 | ISIN | String | ISIN as of this trade date. Optional. |
| 7 | OpenPrice | Decimal | Primary exchange opening trade |
| 8 | OpenSize | Integer | Primary exchange open trade size |
| 9 | OpenTime | String | Time of the Primary exchange opening trade |
| 10 | HighPrice | Decimal | Highest trade price from any exchange or Trade Reporting Facility (TRF) |
| 11 | HighTime | String | Time of the highest trade |
| 12 | LowPrice | Decimal | Lowest trade price from any exchange or Trade Reporting Facility (TRF) |
| 13 | LowTime | String | Time of the lowest trade |
| 14 | ClosePrice | Decimal | Primary exchange closing trade |
| 15 | CloseSize | Integer | Primary exchange close trade size |
| 16 | CloseTime | String | Time of the Primary exchange closing trade |
| 17 | ListedMarketHoursVolume | Integer | Public Listed exchanges trading volume during regular market hours only |
| 18 | ListedMarketHoursTrades | Integer | Number of trades during regular market hours in public listed exchanges |
| 19 | ListedTotalVolume | Integer | Public Listed exchanges trading volume for the whole day (includes pre, regular, and post-market) |
| 20 | ListedTotalTrades | Integer | Public Total number of trades for the trade date (includes pre-, regular, and post-market) in listed exchanges |
| 21 | FinraMarketHoursVolume | Integer | FINRA/TRF trading volume during regular market hours only (normal trade day is 09:30:00 to 16:00:00 EST). FINRA/TRP represents off-exchange trading. |
| 22 | FinraMarketHoursTrades | Integer | The number of FINRA/TRF trades during regular market hours. FINRA/TRF represents off-exchange trading. |
| 23 | FinraTotalVolume | Integer | FINRA/TRF trading volume for the whole day (includes pre-, regular, and post-market) |
| 24 | FinraTotalTrades | Integer | Total number of FINRA/TRF trades for the trade date (includes pre, regular, and post-market). FINRA/TRF represents off-exchange trading. |
| 25 | CumulativePriceFactor | Decimal | Cumulative factor for equity price, calculated with a forward methodology |
| 26 | CumulativeVolumeFactor | Decimal | Cumulative factor for equity volume, calculated with a forward methodology |
| 27 | AdjustmentFactor | Decimal | The value of the Adjustment factor for the event. Available only for dates when the event happened |
| 28 | AdjustmentReason | String | The reason for the Corporate Event |
| 29 | MarketVWAP | Decimal | Volume weighted average price during regular market hours, normally between 09:30:00 and 16:00:00 EST plus the Opening and Closing Cross (which may be after 16:00:00 EST). |
| 30 | DailyVWAP | Decimal | Volume weighted average price for the whole day including pre, regular, and post-market trades. |