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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.Quote represents an individual record of trades for an asset. Tick data does not have a period.

The file schema is as follows:

ColumnDescription
TimeMilliseconds since midnight in the timezone of the data format
Trade SaleMost recent trade price
QuantityAmount of asset purchased or sold
ExchangeLocation of the sale
Trade Sale ConditionNotes on the sale
SuspiciousBoolean 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:

TradeConditionFlagsStatusDescription
REGULARIncludedA trade made without stated conditions is deemed the regular way for settlement on the third business day following the transaction date.
FORM_TIncludedTrading 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.
CASHIncludedA transaction that requires delivery of securities and payment on the same day the trade takes place.
EXTENDED_HOURSIncludedIdentifies a trade that was executed outside of regular primary market hours and is reported as an extended hours trade.
NEXT_DAYIncludedA transaction that requires the delivery of securities on the first business day following the trade date.
OFFICIAL_CLOSEIncludedIndicates the "official" closing value determined by a Market Center. This transaction report will contain the market center generated closing price.
OFFICIAL_OPENIncludedIndicates the 'Official' open value as determined by a Market Center. This transaction report will contain the market center generated opening price.
CLOSING_PRINTSIncludedThe transaction that constituted the trade-through was a single priced closing transaction by the Market Center.
OPENING_PRINTSIncludedThe trade that constituted the trade-through was a single priced opening transaction by the Market Center.
INTERMARKET_SWEEPExcludedThe transaction that constituted the trade-through was the execution of an order identified as an Intermarket Sweep Order.
TRADE_THROUGH_EXEMPTExcludedDenotes whether or not a trade is exempt (Rule 611).
ODD_LOTExcludedDenotes the trade is an odd lot less than a 100 shares.

See more information in the AlgoSeek whitepaper.

Quote Tick

Tick of TickType.QUOTE represents an individual record of quote updates for an asset. Tick data does not have a period.

The file schema is as follows:

ColumnDescription
TimeMilliseconds since midnight in the timezone of the data format
Bid PriceBest bid price
Ask PriceBest ask price
Bid SizeBest bid price's size/quantity
Ask SizeBest ask price's size/quantity
ExchangeLocation of the sale
Quote Sale ConditionNotes on the sale.
SuspiciousBoolean 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:

QuoteConditionFlagsStatusDescription
CLOSINGIncludedIndicates that this quote was the last quote for a security for that Participant.
NEWS_DISSEMINATIONIncludedDenotes 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.
NEWS_PENDINGIncludedDenotes 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.
TRADING_RANGE_INDICATIONIncludedDenotes 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.
ORDER_IMBALANCEIncludedDenotes a non-regulatory halt condition where there is a significant imbalance of buy or sell orders.
RESUMEIncludedIndicates that trading for a Participant is no longer suspended in a security that had been Opening Delayed or Trading Halted.
REGULARExcludedThis condition is used for the majority of quotes to indicate a normal trading environment.
SLOWExcludedThis 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.
GAPExcludedWhile 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.
OPENING_QUOTEExcludedThis condition can be disseminated to indicate that this quote was the opening quote for a security for that Participant.
FAST_TRADINGExcludedFor extremely active periods of short duration. While in this mode, the UTP Participant will enter quotations on a best efforts basis.
RESUMEExcludedIndicate 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:

ColumnDescription
Time Second and Minute: Milliseconds since midnight in the timezone of the data format
Hour or Daily: Date/time formatted as YYYYMMDD HH:mm
OpenOpen Price
HighHigh Price
LowLow Price
CloseClose Price
VolumeNumber 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:

ColumnDescription
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 OpenBid Open Price
Bid HighBid High Price
Bid LowBid Low Price
Bid CloseBid Close Price
Bid SizeNumber of shares being bid that quoted in this QuoteBar
Ask OpenAsk Open Price
Ask HighAsk High Price
Ask LowAsk Low Price
Ask CloseAsk Close Price
Ask SizeNumber of shares being asked that quoted in this QuoteBar

Open Interest

OpenIntest represents the outstanding contracts.

The file schema is as follows:

ColumnDescription
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 InterestOutstanding contracts

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