US Equity Full Depth Guide

version 1.4 (Jul 2021)

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TABLE OF CONTENTS

INTRODUCTION        4

DATA ORGANIZATION AND FILE FORMAT        4

APPENDIX A. FREQUENTLY ASKED QUESTIONS        8

INTRODUCTION

This document covers algoseek’s normalized full depth direct feeds from the following US exchanges: NASDAQ, Direct Edge, NYSE ARCA, and BATS.

algoseek historical exchange data covers:

January 2013 to November 2017 for NASDAQ, Direct Edge, NYSE ARCA, and BATS

November 2017 to December 2018 for NASDAQ and NYSE ARCA

December 2018 to April 2019 for NASDAQ

All messages are consolidated and ordered by the millisecond timestamp. The data setup enables you to build a full depth of the book at any moment intraday. The data contains the entire trading session, including early and late hours from 04:00 to 20:00 EST.

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, data is organized into one file per symbol per trading day. For example, all events for ticker AAPL on Mar 3, 2020, are stored in one CSV file.

Due to the large data size, CSV files are gzip-compressed (having a csv.gz extension) with a compression ratio of about 8:1.

Table 1: Sample Full Depth Data

The table below provides the name, description, and data type for each data field (column) in an Equity Full Depth data file.

Timestamps in Excel. Excel fails when importing timestamp fields as Excel automatically tries to convert milliseconds and nanoseconds to Excel time format. When importing timestamp, you can import as Text fields instead.

Table 2: CSV File Fields Schema

Time Range

The Full Depth dataset covers the entire trading day from the start of pre-market trading to the end of after-hours trading (EST time):

Pre-Market Hours: 04:00:00 to 09:29:59

Market Hours: 09:30:00 to 16:00:00

Post-Market Hours: 16:00:01 to 20:00:00

Note: Occasionally trade and quote 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).

Timestamp

The event timestamp has a millisecond resolution, and the time zone is EST. Timestamp field takes the format of HH:MM:SS.mmm, for example,  09:31:01.723, where

HH: Hour

MM: Minute

SS: Seconds

mmm: Milliseconds

Timestamps in Excel. Excel fails when importing timestamp fields as Excel automatically tries to convert milliseconds and nanoseconds to Excel time format. When importing timestamp, you can import as Text fields instead.

Event Types

Table 3 contains names and descriptions of event types found in the dataset.

Table 3: Event Types for Equity Full Depth Dataset

Note: For the binary version of the dataset the last 4 digits in the “Price” field correspond to decimal digits. The decimal portion is padded on the right with zeros. The decimal point is implied by position; it does not appear inside the price field. Divide the Price by 10000 to convert into a currency value.

APPENDIX A. FREQUENTLY ASKED QUESTIONS

Why are time-based columns not recognized properly when I try importing data to Excel?

Older versions of Excel will automatically try to convert the “Timestamp” field into an Excel format timestamp but this fails when “Timestamp” is in HH:MM:SS.mmm (millisecond) or HH:MM:SS.mmmuuunnn (nanosecond) format. For timestamp with the nanosecond (millisecond) format, import the data using Excel “From Text” option and set the data type for column “Timestamp” to “Text,” so Excel does not automatically try to convert it.