US Equity Primary Exchange Daily OHLC Guide

version 1.8 (Jul 2021)

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TABLE OF CONTENTS

INTRODUCTION        5

OFFICIAL OPEN/CLOSE IDENTIFICATION        5

EXCHANGE MARKET HOURS        6

DATA ORGANIZATION AND FILE FORMAT        7

APPENDIX A. FREQUENTLY ASKED QUESTIONS        10

APPENDIX B. BAR CALCULATIONS FROM TRADE EVENTS        11

INTRODUCTION

This guide describes the Primary Exchange Daily OHLC data available for US Equities.

The dataset is built from the Trades and Quotes of the Securities Information Processor (SIP) data, also known as the “Consolidated Feed” for all listed stocks, ETNs, ETFs, ADRs, and funds.

Each US Equity has a Primary Listing Exchange considered the official Open/Close auction cross for the Equity, even though Open/Close auction crosses may take place on other exchanges. This dataset includes each Equity’s Open/Close based on the primary exchange on that trade date. The Primary Exchange for a stock occasionally changes, for example, when ORCL moved to NYSE from NASDAQ in July 2013.

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

OFFICIAL OPEN/CLOSE IDENTIFICATION

The opening and closing trades are defined as the Opening and Closing Trade Cross on the Primary exchange. Identifying these trades is simple in theory; in actual practice, it has only become easy in the last few years as all the Primary Exchanges began publishing an Official Open and Close. algoseek identifies the Open/Close cross based on the Trade flags published with each trade.

Please refer to Appendix B for a detailed daily bars logic.

Opening Trade Identification

algoseek selects the Open Trade for an equity on the Primary Exchange from the priority order of trade types in this table.  

Table 1: Open Trade from Trade Type

Closing Trade Identification

Since the exchanges have used different condition flags (or none at all) to identify the closing cross over the years, algoseek uses the following priority order to identify the Closing trade for a stock.

Table 2: Closing Trade for a Stock

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.

The “Open” normally refers to the Opening Cross at 09:30:00 ET. The “Close” normally refers to the Closing Cross at 16:00:00 ET.

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 3). 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 3 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 3: CSV File Fields Schema

Bar Notes

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

sum(TradePrice x TradeSize) / sum(TradeSize)

where

sum(TradeSize) = ListedMarketHoursVolume + FinraMarketHoursVolume

Open/High/Low/Close with Limited Trades or Single Trade

Some stocks may only have a single trade during the entire day. For example, with a single trade at 12:00:00 ET then,

Open = High = Low = Close = 12:00:00 Trade price.

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.

algoseek separates trade volume and number of trades into listed exchanges and FINRA/TRF for clients to have a more in-depth understanding of real liquidity on the exchanges.

APPENDIX A. FREQUENTLY ASKED QUESTIONS

Which fields give the total volume for the regular market hours?

Total volume can be calculated as

TotalVolume = ListedMarketHoursVolume + FinraMarketHoursVolume

When the ticker doesn’t have any trade, the columns OpenPrice and OpenSize are null. Where does the value for the ClosePrice and CloseSize come from?

Null values at columns OpenPrice (ClosePrice) and OpenSize (CloseSize) for low liquid symbols are caused by the absence of trades around the Open (Close) time for such tickers. At the same time, trades can appear later (earlier) in the SIP feed, that is why we only see ClosePrice (OpenPrice) and CloseSize (OpenSize).

Why are open/close prices in algoseek's datasets different from other sources?

algoseek provides official opening/closing cross price based on stock's primary exchange, event flags, time, and volume.

Most Data vendors simply use the first/last trade, or the opening/closing cross from a random exchange as opening/closing price.

APPENDIX B. BAR CALCULATIONS FROM TRADE EVENTS

This section describes the logic for daily bar calculations based on events from the Trade Only dataset. Please also refer to the Equity Trade Only Guide for more details on the 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

Opening Trade

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

• the first event with tOfficialOpen flag from the Primary Exchange
• the first event with tOpeningPrint flag from the Primary Exchange
• a Regular Open from the Primary Exchange
• a Regular First from the Primary Exchange

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 tExtendedHours flag set
• 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 last event with tOfficialClose flag from the Primary Exchange
• the last event with tClosingPrint flag from the Primary Exchange
• a Regular Close from the Primary Exchange
• a Regular Last from the Primary Exchange

Regular Close

The Regular Close is the last event satisfying all the condition below:

• not an Open/Close event (tOpeningPrints, tClosingPrints, tOfficialClose and tOfficialOpen flags)
• not having tExtendedHours flag set
• 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 unless any of the flags from Table 4 are present. For ListedMarketHoursVolume and ListedTotalVolume columns, only events from Public Listed exchanges are accounted. For FinraMarketHoursVolume and FinraTotalVolume columns, only events from FINRA Exchange are accounted.

Table 4: Flags for Trade Events to be Excluded During Volume Calculations