Questions & Answers

• What is the format of your data file?
  algoseek provides on-demand delivery of the data you need in the format you need. By default, data is in CSV format for easy manipulation. Please talk to our sales if you need other formats.
• What are my data delivery choices?

  We provide a number of delivery choices, including API, Amazon AWS Cloud, AWS S3 and FTP. For large datasets such as Options TAQ, we also provide Amazon Direct and disk shipment on demand.

  Visit Data Delivery page to see details

• Do you include deleted symbols?
  Yes. All algoseek equity datasets include symbols that have been delisted due to bankruptcy, M&A or any other reason, so our clients don't need to concern about survivor bias when back-testing alogrithms with algoseek data.
• What is the timestamp?
  Each event is timestamped to millisecond or nanosecond, depending on datasets and date. In general, equity data has nanosecond timestamp since Jan 1 2016 and millisecond timestamp before Dec 31, 2015; options data has millisecond timestamp.
• Do you have updates?

  Yes, and we have multiple update options to meet the need of a wide range of clients, including Production Update, Research Update and Weekly Update.

  Production Update provides daily update by 1:00am T+1, and is used primarily by hedge funds and banks for trading. Research Update provides daily update by 5:00pm T+1, and is used by a wide range of clients from analysts and financial service vendors to academic users. Weekly update is available for clients to whom timely data is not crucial.

• Can you do custom data?

  Yes. algoseek takes pride in its flexible and robust cloud infrastructure with large parallel processing capability and its extraordinary data engineer team. We code and test processing logic efficiently and run 1,000+ computer instances concurrently for building custom datasets.

  We can build custom bars of any time length (eg. one second or one hour) and data sets with any fields calculated from our own data or combined with client’s data.

  Please contact us about the custom data you need.

• What does “as-is” mean?

  It means the data you receive from algoseek is exactly the same as the live data you would have received from exchanges.

  Most historical data vendors provide "corrected data" because they don't have the infrastructure to collect live data, and just buy exchange archived data, which has been corrected by exchanges.

  algoseek collects data with its Equinix co-lo servers and proprietary ticker plant, and we provide the data to clients "as-is", without filtering or correcting (although we do filter and correct data for aggregation).

  This is because real-time data is imperfect, subject to exchange publishing mistakes such as out-of-sequence packets, so using corrected data for backtesting causes unrealistic results and risks your algorithm breaking in the real-time scenarios.

• What does adjusted pricing mean?

  Stock price tells you how much you need to pay to buy a stock, but it doesn't tell you the full story of investor return.

  For example, stock prices usually fall after dividend payment, but such decline doesn't mean investors losing money. For another example, Apple (AAPL) stock went from the previous closing price $645.57 to about $92.44 on June 9, 2014, which was the result of a 7-for-1 split. Such price falls didn't mean investors have lost money.

  Adjusted price amends a stock's price to accurately reflect that stock's value after accounting for any corporate actions. Adjusted stock prices are the foundation for time-series analysis of equity markets.

• Do you filter data?

  No, we don't. The data you receive from algoseek is exactly the same as the live data you would have received from exchanges.

  Most historical data vendors provide "corrected data" because they don't have the infrastructure to collect live data, and just buy exchange archived data, which has been corrected by exchanges.

  algoseek collects data with its Equinix co-lo servers and proprietary ticker plant, and we provide the data to clients "as-is", without filtering or correcting (although we do filter and correct data for aggregation).

  This is because real-time data is imperfect, subject to exchange publishing mistakes such as out-of-sequence packets, so using corrected data for backtesting causes unrealistic results and risks your algorithm breaking in the real-time scenarios.

• Who are the algoseek data users?

  algoseek celebrites its 500th client in January 2020. Our data is widely used by hedge funds, banks, financial service providers, professional traders and universities.

• Do you include extension hour trading?
  Data includes all pre- and post-market trading sessions.