Data Format
Core Data Types
Introduction
This page shows the file schema of the core data types represented in supported asset classes.
Trade Tick
Tick of TickType.TradeQuote represents an individual record of trades for an asset. Tick data does not have a period.
The file schema is as follows:
| Column | Description |
|---|---|
| Time | Milliseconds since midnight in the timezone of the data format |
| Trade Sale | Most recent trade price |
| Quantity | Amount of asset purchased or sold |
| Exchange | Location of the sale |
| Trade Sale Condition | Notes on the sale |
| Suspicious | Boolean indicating the tick is flagged as suspicious according to AlgoSeek's algorithms. This generally indicates the trade is far from other market prices and may be reversed. TradeBar data excludes suspicious ticks. |
The trade has one of the following QuoteConditionFlags:
TradeConditionFlags | Status | Description |
|---|---|---|
RegularREGULAR | Included | A trade made without stated conditions is deemed the regular way for settlement on the third business day following the transaction date. |
FormTFORM_T | Included | Trading in extended hours enables investors to react quickly to events that typically occur outside regular market hours, such as earnings reports. However, liquidity may be constrained during such Form T trading, resulting in wide bid-ask spreads. |
CashCASH | Included | A transaction that requires delivery of securities and payment on the same day the trade takes place. |
ExtendedHoursEXTENDED_HOURS | Included | Identifies a trade that was executed outside of regular primary market hours and is reported as an extended hours trade. |
NextDayNEXT_DAY | Included | A transaction that requires the delivery of securities on the first business day following the trade date. |
OfficialCloseOFFICIAL_CLOSE | Included | Indicates the "official" closing value determined by a Market Center. This transaction report will contain the market center generated closing price. |
OfficialOpenOFFICIAL_OPEN | Included | Indicates the 'Official' open value as determined by a Market Center. This transaction report will contain the market center generated opening price. |
ClosingPrintsCLOSING_PRINTS | Included | The transaction that constituted the trade-through was a single priced closing transaction by the Market Center. |
OpeningPrintsOPENING_PRINTS | Included | The trade that constituted the trade-through was a single priced opening transaction by the Market Center. |
IntermarketSweepINTERMARKET_SWEEP | Excluded | The transaction that constituted the trade-through was the execution of an order identified as an Intermarket Sweep Order. |
TradeThroughExemptTRADE_THROUGH_EXEMPT | Excluded | Denotes whether or not a trade is exempt (Rule 611). |
OddLotODD_LOT | Excluded | Denotes the trade is an odd lot less than a 100 shares. |
See more information in the AlgoSeek whitepaper.
Quote Tick
Tick of TickType.QuoteQUOTE represents an individual record of quote updates for an asset. Tick data does not have a period.
The file schema is as follows:
| Column | Description |
|---|---|
| Time | Milliseconds since midnight in the timezone of the data format |
| Bid Price | Best bid price |
| Ask Price | Best ask price |
| Bid Size | Best bid price's size/quantity |
| Ask Size | Best ask price's size/quantity |
| Exchange | Location of the sale |
| Quote Sale Condition | Notes on the sale. |
| Suspicious | Boolean indicating the tick is flagged as suspicious according to AlgoSeek's algorithms. This generally indicates the quote is far from other market prices and may be reversed. Each quote tick contains either bid or ask data only. QuoteBar data data excludes suspicious ticks. |
The quote has one of the following QuoteConditionFlags:
QuoteConditionFlags | Status | Description |
|---|---|---|
ClosingCLOSING | Included | Indicates that this quote was the last quote for a security for that Participant. |
NewsDisseminationNEWS_DISSEMINATION | Included | Denotes a regulatory trading halt when relevant news influencing the security is being disseminated. Trading is suspended until the primary market determines that an adequate publication or disclosure of information has occurred. |
NewsPendingNEWS_PENDING | Included | Denotes a regulatory Trading Halt due to an expected news announcement, which may influence the security. An Opening Delay or Trading Halt may be continued once the news has been disseminated. |
TradingRangeIndicationTRADING_RANGE_INDICATION | Included | Denotes the probable trading range (Bid and Offer prices, no sizes) of a security that is not Opening Delayed or Trading Halted. The Trading Range Indication is used prior to or after the opening of a security. |
OrderImbalanceORDER_IMBALANCE | Included | Denotes a non-regulatory halt condition where there is a significant imbalance of buy or sell orders. |
ResumeRESUME | Included | Indicates that trading for a Participant is no longer suspended in a security that had been Opening Delayed or Trading Halted. |
RegularREGULAR | Excluded | This condition is used for the majority of quotes to indicate a normal trading environment. |
SlowSLOW | Excluded | This condition is used to indicate that the quote is a Slow Quote on both the bid and offer sides due to a Set Slow List that includes high price securities. |
GapGAP | Excluded | While in this mode, auto-execution is not eligible, the quote is then considered manual and non-firm in the bid and offer, and either or both sides can be traded through as per Regulation NMS. |
OpeningQuoteOPENING_QUOTE | Excluded | This condition can be disseminated to indicate that this quote was the opening quote for a security for that Participant. |
FastTradingFAST_TRADING | Excluded | For extremely active periods of short duration. While in this mode, the UTP Participant will enter quotations on a best efforts basis. |
ResumeRESUME | Excluded | Indicate that trading for a Participant is no longer suspended in a security which had been Opening Delayed or Trading Halted. |
See more information in the AlgoSeek whitepaper.
Trade Bar
TradeBar represents trade ticks of assets consolidated for a period.
The file schema is as follows:
| Column | Description |
|---|---|
| Time |
Second and Minute: Milliseconds since midnight in the timezone of the data format
Hour or Daily: Date/time formatted as YYYYMMDD HH:mm |
| Open | Open Price |
| High | High Price |
| Low | Low Price |
| Close | Close Price |
| Volume | Number of shares traded in the period |
Quote Bar
QuoteBar represents top of book quote data consolidated over a period of time (bid and ask bar).
The file schema is as follows:
| Column | Description |
|---|---|
| Time |
Second and Minute: Milliseconds since midnight in the timezone of the data format
Hour or Daily: Date/time formatted as YYYYMMDD HH:mm |
| Bid Open | Bid Open Price |
| Bid High | Bid High Price |
| Bid Low | Bid Low Price |
| Bid Close | Bid Close Price |
| Bid Size | Number of shares being bid that quoted in this QuoteBar |
| Ask Open | Ask Open Price |
| Ask High | Ask High Price |
| Ask Low | Ask Low Price |
| Ask Close | Ask Close Price |
| Ask Size | Number of shares being asked that quoted in this QuoteBar |
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