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US Equities Daily OHLC

GET 
/api/v1/data/us-equity/eq-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.

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​

Responses​

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