US Equity SSR Circuit Breakers Guide

version 1.0 (Jan 2024)

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TABLE OF CONTENTS

INTRODUCTION        3

DATA ORGANIZATION AND FILE FORMAT        4

INTRODUCTION

The Short Sale Rule is an important policy that preserves the security’s price from being cratered. The execution of this rule is carried out by circuit breakers when the security’s price drops below 10% from the previous close. The security becomes forbidden to be traded at the NB bid price for up to 2 trade days, but it can still be sold short at a price above the current NB bid.

algoseek US Equity SSR Circuit Breakers dataset contains information about short sale rule executions. The data is available from the NYSE starting from March 25, 2015 and NASDAQ starting from February 28, 2011.

DATA ORGANIZATION AND FILE FORMAT

algoseek provides US Equity SSR Circuit Breakers data in plain text CSV files. The data from both exchanges is organized in one file per trading date. The first row of the CSV file is a fixed header, and then rows of data corresponding to a specific security affected by SSR ( see Table 1).

Table 1: US Equity SSR Circuit Breakers Sample Data

Table 2 below provides the name, description, and data type for each data field in the file.

Table 2: US Equity SSR Circuit Breakers CSV File Fields Schema