US Equity OTC Quote Guide
US Equity OTC Quote Guide
US Equity OTC Quote Guide
Version 1.0.0 (Jul 2024)
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DATA DISTRIBUTION AND COLLECTION 4
DATA ORGANIZATION AND FILE FORMAT 5
Effective Date | Version | Revision Type | Description |
Jul 5, 2024 | 1.0.0 | Release | An initial version of the dataset |
The algoseek US Equity OTC Quote data comprises all quotes submitted to the OTC Link inter-dealer quotation system and distributed by OTC Markets Group within the OTC Quote History File dataset.
The description for the OTC Quote History file extracted from the "OTC Quote History Data File Specifications" document is as follows:
The OTC Markets Group OTC Quote History file provides tick by tick quote information for quotations submitted to the OTC Link inter-dealer quotation system. The file includes quote attribute information (e.g. timestamp, price, size) for individual market participant quotes and ‘inside market’ quotes generated by the OTC Link quotation system.
It is important to note that the inside market quotes are for quotes entered into the OTC Link system only. Quotes from other inter-dealer quotation systems are not included in the file or in the inside algorithm.
The OTC Quote History File, distributed by OTC Markets Group, is obtained from the OTC Markets Group's SFTP server.
algoseek collects data from the OTC Market Group's SFTP server, then standardizes the data to deliver it in CSV format, adhering to our established standards for data organization and file format.
algoseek refrains from altering the data extracted from the OTC Quote History File sourced from OTC Market Group in any manner that alters its original information. The normalization process merely guarantees that the CSV files adhere to the standards for data organization and file format.
algoseek offers US Equity OTC Quote data in plain-text CSV files. The initial row of the CSV file serves as a fixed header, followed by rows of data representing individual quotes (refer to Table 2). By default, the data is structured into one file per symbol per trading day. For instance, all events related to the ticker AAALY on October 25, 2023, are contained within a single CSV file.
To manage the substantial data size, CSV files undergo gzip compression, denoted by the csv.gz extension, typically achieving a compression ratio of approximately 8:1.
Table 1 demonstrates a sample of the US Equity OTC Quote dataset, in which rows and columns are inverted for the convenience of the document display. The sample refers to the ticker "GBRRF" on January 25th, 2024.
Table 1: US Equity OTC Quote Sample Data
TradeDate | 20240125 | 20240125 | 20240125 |
Timestamp | 11:42:21.153 | 11:42:21.458 | 11:42:21.458 |
QuoteUpdateType | 6 | 1 | 6 |
Ticker | GBRRF | GBRRF | GBRRF |
Name | GABRIEL RES LTD | GABRIEL RES LTD | GABRIEL RES LTD |
BidType | A | A | A |
BidPrice | 0.3306 | 0.3307 | 0.3307 |
BidSize | 87500 | 12500 | 12500 |
AskType | A | A | A |
AskPrice | 0.3453 | 0.3453 | 0.3453 |
AskSize | 37500 | 22500 | 37500 |
UnsolicitedFlag | 0 | 0 | 0 |
MMID | OTCN | ||
Trader | OTCNQUOT | ||
OpenCloseStatus | 1 | 1 | 1 |
QuoteId | 215484576 | 215488224 | 215488227 |
InsideReason | Quote Updated | Quote Updated |
Table 2 below presents the name, description, and data type for each field in the CSV file.
Table 2: CSV File Fields Schema
Field | Type (Format) | Missing | Description |
TradeDate | string (yyyymmdd) | Never | Trading date in yyyymmdd format |
Timestamp | string (HH:MM:SS.mmm) | Never | Quote timestamp in HH:MM:SS.mmm format |
QuoteUpdateType | integer | Never | Defines the quote record type. Start of Day quotes are quotes generated at system start. These quotes were closed the previous day but not withdrawn/deleted. Open/Close updates are updates caused by a Trader open/close status change. 1 = Update 2 = Add 3 = Delete 4 = Start of Day 5 = Open/Close Update 6 = Inside |
Ticker | string | Never | Security symbol |
Name | string | Never | Security name |
BidType | string | Never | A= Actual (Priced) U= Unpriced OW = Offer Wanted |
BidPrice | decimal | Never | Decimal precision is currently 4 decimal places for prices under $1 and 2 places for prices greater than $1. Minimum price is $0.0001. Maximum price is $999,999.99. |
BidSize | integer | Never | Maximum allowed size is 999,999,999 shares |
AskType | string | Never | A = Actual (Priced) U = Unpriced BW = Bid Wanted |
AskPrice | decimal | Never | Decimal precision is currently 4 decimal places for prices under $1 and 2 places for prices greater than $1. Minimum price is $0.0001. Maximum price is $999,999.99. |
AskSize | integer | Never | Maximum allowed size is 999,999,999 shares |
UnsolicitedFlag | string | Never | 1 = Unsolicited Flag True |
MMID | string | Should be a 'Blank' value when QuoteUpdateType is 6 | For individual quotes (type <> 6) the represents the market participant who submitted the quote. For inside quotes (type = 6) this field will be null. |
Trader | string | Should be a 'Blank' value when QuoteUpdateType is 6 | For individual quotes (type <> 6) the value represents the trader id of the trader who submitted the quote. For inside quotes (type = 6) this field will be null. |
OpenCloseStatus | integer | Never | Notes the Open/Close status of the quote. 0 = Closed 1 = Open Only Open quotes may be considered for the inside. |
QuoteId | integer | Never | Unique Quote identification number. |
InsideReason | string | Should be a 'Blank' value when QuoteUpdateType is not 6 | Value will only be populated where quote update type = 6. Notes the cause of the inside update/addition. Possible values:
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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).
OTC Markets' normal market hours are Monday through Friday 9:30 A.M. to 4:00 P.M. ET. Operating Hours for OTC Link ATS is Monday through Friday 6:00 A.M. to 5:00 P.M. ET.
