Living errata. Every discovered issue documented with date and resolution.
The data source changes at March 2022. Pre-2022 data comes from the full consolidated tape (all U.S. exchanges). Post-2022 data comes from IEX Exchange only (~2–3% of consolidated volume). This creates a structural break. Please read the details below before using this data in research.
Coverage: Full consolidated tape (CTA/UTP) — captures all trades across all U.S. equity exchanges (NYSE, Nasdaq, ARCA, BATS, IEX, etc.).
This data represents the complete picture of U.S. equity trading. Volume figures, OHLCV bars, and all derived academic measures reflect the full market. This is the same underlying data used by CRSP and TAQ.
Status: Known limitation, documented
Coverage: IEX Exchange only — approximately 2–3% of total consolidated volume.
Post-March 2022 data is sourced from IEX Exchange HIST, which provides publicly available pcap captures of IEX's own trading activity. IEX is the only U.S. exchange that makes its historical data freely available and allows redistribution.
What this means for researchers:
When IEX data is appropriate:
When IEX data is NOT appropriate:
How to identify the data source: Each bar has a source column. Bars with source="pitrading" are from the consolidated tape. Bars with source="iex" are from IEX Exchange HIST only. Post-2022 bars not yet tagged source="iex" are being re-derived directly from IEX HIST this week.
Consolidated tape data (CTA/UTP) is owned by NYSE and Nasdaq. All providers who redistribute it (Polygon, Yahoo Finance, etc.) charge licensing fees and prohibit re-redistribution in their terms of service. IEX Exchange HIST is the only U.S. equity exchange that makes its historical data freely available and permits redistribution with attribution. This is a trade-off between coverage and accessibility. Data provided for free by IEX. By accessing or using IEX Historical Data, you agree to the IEX Historical Data Terms of Use.
Researchers who require full consolidated tape data for post-2022 analysis should supplement this library with institutional access to WRDS/TAQ or similar licensed sources.
Status: Known structural break
The transition from PiTrading (consolidated tape) to IEX Exchange HIST (single exchange) at March 2022 creates a structural break in volume, trade count, and potentially in price coverage. Step 9 of the cleaning pipeline checks for artificial price jumps at this boundary, but the volume discontinuity is inherent to the source change and cannot be cleaned away.
Status: Known limitation, documented 2026-08-22
Post-2022 bars are built from IEX TOPS Trade Report messages only. IEX trade-break messages are not consumed, so a print that the exchange later busts or corrects remains in the minute bar. Erroneous prints are therefore caught, if at all, by the generic outlier filters in the Clean version (steps 7 and 8) rather than by a corrections feed. Pre-2022 bars arrive pre-aggregated from the vendor, so any corrections handling in that period is the vendor’s and is not visible to us. Researchers whose designs are sensitive to busted trades should treat both periods accordingly.
Status: Clarification, documented 2026-08-22
Neither Raw nor Clean contains pre-market or after-hours bars. Clean removes out-of-session bars by rule (step 1), but the sources as ingested do not supply them in the first place: measured across the full served files, 0 of 1,213,939 SOXL raw bars and 0 of 2,308,352 AAPL raw bars fall outside 09:30–16:00 ET, and the observed clock range is 09:30–15:59 in both. The Data Versions page previously listed “outside-hours bars” among Raw’s contents; that was wrong and has been corrected.
This page will be updated as issues are discovered. Check back after each data update.
Email [email protected] with the ticker, date(s), and description. See the contact page for full reporting guidelines.