US Equities Primary Exchange Daily OHLC
US Equities Primary Exchange Daily OHLC
Production
·
The U.S. Equities Primary Exchange Daily OHLC dataset provides daily Open, High, Low, Close, and Volume (OHLCV) prices for U.S. equities sourced exclusively from each security’s primary (listing) exchange. This product determines official open and close prices at the primary exchange level, using exchange-specific condition codes in SIP feed where available in recent history and specialized historical reconstruction methodologies for earlier periods. This approach avoids the common practice of using the first and last consolidated trades of the day, which may include off-exchange, after-hours, or post-market executions, and instead reflects true primary-exchange trading sessions. In addition to OHLCV, the dataset includes Volume-Weighted Average Price (VWAP). The resulting price series is designed for applications requiring exchange-pure opens and closes, such as quantitative research, machine learning pipelines, and strategy back-testing sensitive to session boundaries and listing-exchange behavior.
Dataset Info
SQL (ArdaDB)
CSV (S3)
Algoseek Dataset ID
US1013
Data Class
Equity
Dataset Name ID
eq_daily_ohlc_primary
Data Format
Market Data
Version
1.0
Time Granularity
Daily
Region
US
Data Type
End of Day
Universe
All stocks, ETFs/ETNs from US exchanges
Update Frequencies
End of day
Start Date
2007-01-01
End Date
Ongoing
Update Frequency
1 Day
Total Size
11.6 GB
Annual Size
673 MB / year
Update Size
2.7 MB
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
Included in Data Research Packages: