Equity Daily
Daily OHLCV for U.S. equities in multiple methodologies: algoseek, Bloomberg-standard, primary exchange, and adjusted. With 65-metric TAQ bar. Since 2007.
End-of-day data for U.S. equities covering daily OHLCV prices and daily market analytics derived from the SIP consolidated feed. Coverage spans all listed securities since 2007.
Daily OHLCV is available in multiple calculation methodologies: algoseek's proprietary bias-controlled methodology, industry-standard Bloomberg methodology, primary (listing) exchange methodology, and standard market-hours methodology. Each is available in both raw and split-adjusted and dividend-adjusted versions. All variants include VWAP and segmented volume (total, market-hours, and FINRA-reported).
The daily TAQ analytics bar provides 65 metrics per security per day, including OHLCV, bid-ask spread statistics, buy/sell pressure indicators, and exchange-level volume breakdowns, serving as a comprehensive end-of-day stock data summary of market microstructure activity.
Trade and Quote Daily#
The U.S. Equities Trade and Quote Daily Bar dataset provides a daily, analytics-rich summary of market activity derived from consolidated trade and top-of-book quote (TAQ) data. It aggregates intraday TAQ information into a comprehensive set of 65 metrics, capturing both price formation and trading behavior. In addition to standard Open, High, Low, Close, and Volume (OHLCV) measures, the dataset includes a wide range of market microstructure statistics, such as buying and selling pressure indicators, spread and quote dynamics, exchange-level and FINRA-reported volume, and other trade- and quote-based analytics. These metrics are designed to characterize daily liquidity, order-flow imbalance, and trading intensity. The dataset is derived from Equity Securities Information Processor (SIP) data and covers all eligible trades and top-of-book quotes, including off-exchange trades reported to FINRA Trade Reporting Facilities (TRF). Coverage spans all major U.S. equity issue types, including common and preferred stocks, ETFs, ETNs, ADRs, warrants, and units.
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 trading day and market hours. Files are systematically categorized by date and ticker.