Our featured products designed for Machine Learning
TRADE & QUOTE
(TAQ) MINUTE BARS
STOP STARVING YOUR MACHINE
- Intraday bars from other vendors usually contain less than 20 data points and provide only OHLC (Open/High/Low/Close) price, bid/ask size and overall volume
- Eventless gaps are troublesome to deal with
FEED IT SOME REAL MEAL
- algoseek TAQ Minute Bar has 90+ data fields, providing the most comprehensive, detailed information for machine learning and quantitative trading
- Bar time is continuous when there's no event. Developers don't need to carry forward previous events
EQUITY SECURITY MASTER FILE
- Easy cross-reference to Bloomberg, Refinitiv, ICE Data and other data vendors’ equity data as algoseek SecID is mapped to ISIN, FIGI and SEDOL
- Track changes on ticker, name, ISIN, primary exchange, etc., for all listed and delisted securities
PRIMARY EXCHANGE OHLC
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FACTS YOU MAY NOT ALREADY KNOW:
- Before 2019, most exchanges did not publish flag showing opening/closing cross trade
- Historically some exchanges published the Opening Cross as multiple trades instead of just one trade
- All exchanges started using “Official Open” and “Official Close” flags only since Sep 2019, and opening prices from non-primary exchanges usually arrive earlier than the official opening price from the primary exchange
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- Most data vendors simply use the first/last trade, or the opening/closing cross from a random exchange, as opening/closing price
- algoseek Primary Exchange OHLC provides accurate official opening/closing cross price based on complex logic including time, volume, flags and the stock’s primary exchange