Data Types

Level 2/Tick Data

All changes in the Bid and Ask books.
Millisecond timestamps.

equity

Direct feeds from NYSE ARCA, Nasdaq, BATS, EDGX, EDGA

Futures and future options

CME, COMEX, NYMEX and CBOT to 10 levels.

Bars
Trades + Quotes Bars

In-depth information for the bar period with 55+ fields including Open|High|Low|Close for Bid, Ask, Trades and calculated fields like “TradesAtBid”, “MaxSpread”, “VolumeWeightPrice”, “NBBOQuoteCount”, etc.

Learn More >> Trade Only Bars

Traditional OHLC trade based minute bars with 12 fields.

Learn More >>
Trades and Quotes

All the top-of-book quotes and trades.
Millisecond timestamps.

Equity

Full SIP (also called “Consolidated Feed”) with top-of-book quote changes from every exchange and FINRA. Includes pre-market and after-hours data. All trades from all exchanges with flags.

Futures

All quotes and trades including implied quotes, aggressor and settlement prices.

Trades Only
Equity

All trades from all exchanges and FINRA including pre-market and after-hours trading.

Futures

All trades including aggressor side.

Custom Bars

AlgoSeek can quickly create custom bars of any timelength (eg. one second or one hour) with any fields calculated from Trades and Quotes data.

AlgoSeek has built a flexible cloud infrastructure with large parallel processing capable of running 1,000+ computer instances to build bars from big datasets.

Delivery Options

Data is in compressed CSV format to provide the easiest format for clients to work with.
Please see www.algoseek.com/samples for examples of data.

Cloud Drive Cloud
Drive

Immediate access to data on cloud computers with virtual cloud drive.

AWS

Download, copy or connect to AlgoSeek’s AWS S3 data storage.

On Premise On
Premise

Data stored on premise at client’s location.

API API

Download data from Restful API.

FTP FTP

Download data with FTP.

Data Collection

Timestamps

Each event is timestamped to the millisecond to provide an accurate record.

More text data is ready for institutional research.

Condition Codes

With Trades+Quotes and Trades Only data the condition codes (if any) are available.

Download a guide from www.algoseek.com/support

Filtering

AlgoSeek does not filter the raw Trades+Quotes or Trades Only data to provide real “as-is” historical data,as you would have received on that trading day with a live feed.

Institutional Ready

Data is ready for institutional research or backtesting.

Survivorship Bias-Free

Survivorship bias occurs when models are developed and tested using only currently-traded symbols. AlgoSeek data includes all symbols that are no longer traded due to mergers, acquisitions, delistings, etc.

Clients who order all symbols receive both active and inactive companies which can be used to eliminate survivorship bias from research.