US Equity algoseek Daily OHLC Adjusted Guide

Version 1.0.0 (Jun 2024)

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TABLE OF CONTENTS

REVISION SUMMARY        4

INTRODUCTION        5

EXCHANGE MARKET HOURS        5

DATA ORGANIZATION AND FILE FORMAT        6

CORPORATE EVENTS        8

APPENDIX A. OHLCV CALCULATIONS FROM TRADE EVENTS        9

APPENDIX B. ALGOSEEK VS INDUSTRY STANDARD LOGIC        13

REVISION SUMMARY

INTRODUCTION

This guide describes the Daily OHLC Adjusted data calculated using algoseek logic for US Equities.

The dataset is based on sophisticated algoseek logic for extracting accurate Open/High/Low/Close trades from the Trades of the Securities Information Processor (SIP) data, also known as the “Consolidated Feed” for all listed stocks, ETNs, ETFs, ADRs, and funds. This dataset contains OHLCV data adjusted by corporate events along with raw data.

For all information about corporate events applied to adjust the data and implemented logic for adjusting, see the ‘Corporate Events’ section.

There are two data aggregation options for this dataset that provide exactly the same data fields:

tradedate: one CSV file with data for all symbols per trading day

secid: one CSV file with data for all trading days per Security ID - a unique security identifier used by algoseek that remains unchanged when the ticker changes

EXCHANGE MARKET HOURS

The US Stock Market trading hours are split into the pre-market, market, and post-market hours.

Pre-Market Hours: 04:00:00 to 09:30:00 (excluding)

Market Hours: 09:30:00 to 16:00:00 (excluding)

Post-Market Hours: 16:00:00 to 20:00:00

Note: Occasionally, trade events are recorded several minutes after 20:00.

Market Holidays and Early Closes

The stock market is closed for trading on most US holidays. For reference, algoseek publishes a list of historical holidays, which is available at s3://us-equity-market-holidays/holidays.csv (direct download link: https://us-equity-market-holidays.s3.amazonaws.com/holidays.csv).

Markets sometimes close early at 13:00:00 on the day before holidays such as Independence Day and Thanksgiving. You can download algoseek’s early close date and time list from AWS S3 storage at s3://us-equity-market-holidays/earlycloses.csv (or use a direct link us-equity-market-holidays.s3.amazonaws.com/earlycloses.csv).

DATA ORGANIZATION AND FILE FORMAT

algoseek provides Equity market data in plain-text CSV files. The first row of the CSV file is a fixed header, and then rows of data corresponding to individual events (see Table 1). By default, the dataset is organized either by trading day or by secid.  It means, for example, that all daily Open/Close data for Mar 3, 2020, are stored in a separate CSV file under a tradedate aggregation. For the secid-based aggregation, all data for the security with an ID 33449 (AAPL) for a single year is stored in a separate CSV file.

Table 1 below summarizes the name,  description, and data type for each data field (column). The Field order below is for SecId-based aggregation. For tradedate-based data aggregation the “TradeDate” is the first column and “SecId” is the second.

Table 1: CSV File Fields Schema

Bar Notes

MarketHoursVWAP and DailyVWAP: Market hours volume weighted average price (VWAP) is calculated as

sum(TradePrice x TradeSize) / sum(TradeSize)

where

sum(TradeSize) = MarketHoursVolume

FINRA/TRF vs Exchange Trades

FINRA Trade Reporting Facility (TRF) allows for reporting of trades that do not take place on an exchange, this includes Dark Pools, Broker-Dealer internal trading, Over the Counter (OTC), etc.

CORPORATE EVENTS

Table 2: Corporate Event’s effect on Price and/or Volume

APPENDIX A. OHLCV CALCULATIONS FROM TRADE EVENTS

This section describes algoseek logic for daily bar calculations based on events from the Trade Only dataset. The logic is based on sophisticated Equity Primary Daily OHLC dataset logic for extracting accurate official opening and closing cross prices. Please also refer to Equity Trade Only Guide for more details on data fields and condition flags used.

In this section Market hours refer to 9:30:00 (including) - 16:00:00 (excluding) for regular trading days and to 9:30:00 (including) - 13:00:00 (excluding) when there was an early close.

Filtering

• Exclude any trade with Price = 0
• Exclude any trade with Quantity = 0
• Exclude Trade Cancel events
• Exclude the original trade that was canceled later

Opening Trade

The Opening Trade is selected from the following priority order list:

• the event with the tOfficialOpen flag with the largest volume from the Primary Exchange
• the event with the tOpeningPrint flag with the largest volume from the Primary Exchange
• a Regular Open from the Primary Exchange
• a Regular First from the Primary Exchange
• the TRADE NB event with the tOfficialOpen flag and the largest volume among exchanges excluding FINRA
• the TRADE NB event with the tOpeningPrint flag and the largest volume among exchanges excluding FINRA
• a Regular Open based on the TRADE NB event selected among exchanges excluding FINRA
• a Regular First based on the TRADE NB event selected among exchanges excluding FINRA
• the TRADE event with the tOfficialOpen flag and the largest volume among exchanges excluding FINRA
• the TRADE event with the tOpeningPrint flag and the largest volume among exchanges excluding FINRA
• a Regular Open based on the TRADE event selected among exchanges excluding FINRA
• a Regular First based on the TRADE event selected among exchanges excluding FINRA

Regular Open

The Regular Open corresponds to the first event satisfying all the conditions below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having either of the following flags set: tExtendedHours, tDerivativelyPrices, tStockOption, tAveragePrice, tRule155
• the largest volume between 09:30:00 (including) and 09:40:00 (including)

Regular First

Regular First is the first event satisfying all the conditions below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having either of the following flags set: tDerivativelyPrices, tStockOption, tAveragePrice, tRule155
• not having tOddLot flag set
• not having tExtendedHours flag set
• the event time is within market hours

Closing Trade

The Closing Trade is selected from the following priority order list:

• the event with the tOfficialClose flag with the largest volume from the Primary Exchange
• the event with the tClosingPrint flag with the largest volume from the Primary Exchange
• a Regular Close from the Primary Exchange
• a Regular Last from the Primary Exchange
• the TRADE NB event with the tOfficialClose flag and the largest volume among exchanges excluding FINRA
• the TRADE NB event with the tClosingPrint flag and the largest volume among exchanges excluding FINRA
• a Regular Close based on the TRADE NB event selected among exchanges excluding FINRA
• a Regular Last based on the TRADE NB event selected among exchanges excluding FINRA
• the TRADE event with the tOfficialClose flag and the largest volume among exchanges excluding FINRA
• the TRADE event with the tClosingPrint flag and the largest volume among exchanges excluding FINRA
• a Regular Close based on the TRADE event selected among exchanges excluding FINRA
• a Regular Last based on the TRADE event selected among exchanges excluding FINRA

Regular Close

The Regular Close is the first event satisfying all the conditions below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having either of the following flags set: tExtendedHours, tDerivativelyPrices, tStockOption, tAveragePrice, tRule155
• the largest volume between 16:00:00 (including) and 16:05:00 (including) for regular trading days or between 13:00:00 (including) and 13:05:00 (including) for an Early Close

Regular Last

Regular Last is the last event satisfying all the conditions below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having either of the following flags set: tDerivativelyPrices, tStockOption, tAveragePrice, tRule155
• not having tOddLot flag set
• not having tExtendedHours flag set
• the event time is within market hours

Daily High

Daily High is the first event satisfying all the conditions below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having either of the following flags set: tDerivativelyPrices, tStockOption, tAveragePrice, tRule155
• not having tOddLot flag set
• not having tExtendedHours flag set
• the exchange is not FINRA
• the event with the largest price within market hours

Daily Low

Daily Low corresponds to the first event satisfying all the conditions below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having either of the following flags set: tDerivativelyPrices, tStockOption, tAveragePrice, tRule155
• not having tOddLot flag set
• not having tExtendedHours flag set
• the exchange is not FINRA
• the event with the smallest price within market hours

Volume

All events are accounted for unless any of the flags from Table 3 are present. For ListedMarketHoursVolume, events with the tExtendedHours flag are also excluded. Among the events containing the flag from Table 3 only one selected opening/closing trade volume per exchange is accounted for. For ListedMarketHoursVolume and ListedTotalVolume columns, only events from Public Listed exchanges are accounted for. For the FinraMarketHoursVolume and FinraTotalVolume columns, only events from the FINRA Exchange are accounted for.

Table 3: Flags for Trade Events to be Excluded During Volume Calculations

APPENDIX B. ALGOSEEK VS INDUSTRY STANDARD LOGIC

Table 4: Flags for Trade Events to be Included During Daily High/Low Calculations for Industry Standard Logic

Table 5: Flags for Trade Events to be Excluded During Daily High/Low Calculations for Industry Standard Logic

Table 6: algoseek vs Industry Standard Logic