All changes in the Bid and Ask books.
Direct feeds from NYSE ARCA, Nasdaq, BATS, EDGX, EDGAFutures and future options
CME, COMEX, NYMEX and CBOT to 10 levels.
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 >>
All the top-of-book quotes and trades.
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.
All trades from all exchanges and FINRA including pre-market and after-hours trading.Futures
All trades including aggressor side.
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.
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.
Immediate access to data on cloud computers with virtual cloud drive.
Download, copy or connect to AlgoSeek’s AWS S3 data storage.
Data stored on premise at client’s location.
Download data from Restful API.
Download data with FTP.
Each event is timestamped to the millisecond to provide an accurate record.
More text data is ready for institutional research.
With Trades+Quotes and Trades Only data the condition codes (if any) are available.
Download a guide from www.algoseek.com/support
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.
Data is ready for institutional research or backtesting.
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.