US Equities Daily OHLC

The US Equities Daily OHLC is based on sophisticated algoseek logic for extracting accurate Open/High/Low/Close trades from the Trades of the Securities Information Processor (SIP) data, also known as the “Consolidated Feed” for all listed stocks, ETNs, ETFs, ADRs, and funds. This dataset contains OHLCV data. In addition to the total volume, volume recorded during market hours and FINRA volume are separately provided. The VWAP (Volume Weighted Average Price) is available for both the entire trad

GET https://api.devalgoseek.com/api/v1/data/us-equity/eq-daily-ohlc#

For more details, please refer to the dataset documentation: US Equities Daily OHLC Guide (algoseek aggregation logic), US Equities Industry Standard Daily OHLC Guide (Industry Standard aggregation logic).

Aggregation Logic Options#

This dataset is available with different aggregation logic variants, which may affect how certain data fields are calculated.

algoseek#

algoseek core team comes from a high-frequency background and uses accepted de facto standards for calculating OHLC bars. See documentation for details on included/excluded fields.

Industry Standard#

Replicates the approach used by the industry's largest screen data vendor, which is also considered an industry standard by many professionals. The approach varies from modern calculations because it was set back in the 1990s in terms of the types of exchange flags that are included/excluded; see the specification for details.

Note: This dataset has an adjusted version available. By default, the endpoint returns price and volume values 'as-is' based on information published on the exchange. The adjusted version includes backward-adjusted data that accounts for corporate actions such as dividends and stock splits, which affect fields based on price and volume. You can control this behavior by using the adjusted query parameter in your API requests.

Advanced Filtering

You can provide one or multiple filter expressions based on the dataset's columns to narrow down the results. For example, StartDate.gt=2023-01-01&StartDate.lt=2023-12-31, Ticker=AAPL.

Please refer to the Advanced Filtering Guide for the extensive reference.

Request#

Query Parameters#

adjusted Adjusted

Flag to indicate whether to return adjusted price and volume data

Default value: false

Examples:

Adjustment enabled
Adjustment disabled

Return the adjusted data

Example: true

Return unadjusted data (default behavior)

Example: false

sort Sort

Sorting criteria for the results. Provide a column name with optional prefix '+' for ascending order, or prefix with '-' for descending order. Multiple sorting fields may be supported depending on the dataset. If sort prefix is not provided, the ascending order is applied.

columns Columns

A comma-separated list of columns to include in the response. Use this parameter to select only specific fields from the dataset. If not provided, all available columns will be returned.

offset Offset

Possible values: >= 0

Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.

Default value: 0

Example: 100

limit Limit

Possible values: >= 0 and <= 100000

Maximum number of records to return. Used to control response size and pagination. If not provided, a default limit is applied by the server.

Default value: 10000

Example: 100

response_format ResponseFormat

Possible values: [json, csv, csv_gzip]

The type of the data to return

Default value: json

Examples:

JSON
CSV Gzip

JSON format (default)

Example: json

Compressed CSV format

Example: csv_gzip

aggregation_logic eq_daily_ohlc_AggregationLogic

Possible values: [algoseek, industry_std]

Aggregation logic variant of the dataset

Default value: algoseek

Responses#

JSON, CSV file, or gzip-compressed CSV file, depending on the value of response_format query parameter

application/json
text/csv
application/gzip

Schema
Example (auto)

Schema

data object[]required

Array [

TradeDatedate

The trading day

Example: 2023-08-02

Tickerstring

Symbol name

Example: A

ASIDinteger

A unique identifier for a security

Example: 1010000000001000

OpenPricenumber

Primary exchange opening trade

Example: 122

HighPricenumber

Highest trade price from any exchange excluding FINRA

Example: 128.72

LowPricenumber

Lowest trade price from any exchange excluding FINRA

Example: 121.835

ClosePricenumber

Primary exchange closing trade

Example: 127.71

MarketHoursVolumeinteger

Total trading volume during regular market hours only

Example: 2588869

MarketHoursFinraVolumeinteger

FINRA/TRF trading volume during regular market hours

Example: 989976

DailyVolumeinteger

Total trading volume for the whole day

Example: 2656212

DailyFinraVolumeinteger

FINRA/TRF trading volume for the whole day

Example: 1057118

MarketHoursVWAPnumber

Volume-weighted average price during regular market hours plus the Opening and Closing Cross

Example: 126.8498

DailyVWAPnumber

Volume-weighted average price for the whole day

Example: 126.8716

]

pagination objectrequired

offsetinteger

The number of records skipped to fetch the current page

Default value: 0

limitintegerrequired

The maximum number of records in the current page

next_offsetinteger

The number of records to skip to fetch the next page

{
  "data": [
    {
      "TradeDate": "2023-08-02",
      "Ticker": "A",
      "ASID": 1010000000001000,
      "OpenPrice": 122,
      "HighPrice": 128.72,
      "LowPrice": 121.835,
      "ClosePrice": 127.71,
      "MarketHoursVolume": 2588869,
      "MarketHoursFinraVolume": 989976,
      "DailyVolume": 2656212,
      "DailyFinraVolume": 1057118,
      "MarketHoursVWAP": 126.8498,
      "DailyVWAP": 126.8716
    }
  ],
  "pagination": {
    "limit": 1000,
    "next_offset": 2000,
    "offset": 1000
  }
}

Schema
Example (auto)

Schema

stringbinary

"string"

Schema
Example (auto)

Schema

stringbinary

"string"

Validation Error

application/json

Schema
Example (auto)

Schema

detail object[]

Array [

loc object[]required

Array [

anyOf

string
integer

string

]

msgstringrequired

typestringrequired

inputInput

ctxobject

]

{
  "detail": [
    {
      "loc": [
        "string",
        0
      ],
      "msg": "string",
      "type": "string",
      "ctx": {}
    }
  ]
}

Authorization: X-API-KEY#

name: X-API-KEYtype: apiKeyin: header

HTTPCLIENT
RESTSHARP

var client = new HttpClient();
var request = new HttpRequestMessage(HttpMethod.Get, "https://api.devalgoseek.com/api/v1/data/us-equity/eq-daily-ohlc");
request.Headers.Add("Accept", "application/json");
request.Headers.Add("X-API-KEY", "<X-API-KEY>");
var response = await client.SendAsync(request);
response.EnsureSuccessStatusCode();
Console.WriteLine(await response.Content.ReadAsStringAsync());

Response

Click the Send API Request button above and see the response here!

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