Known Issues

Source limitations

IEX Exchange HIST (single exchange)

Status: Known limitation, documented

Coverage: IEX Exchange only — approximately 2–3% of total consolidated volume — from March 7, 2022.

The data comes 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:

• Volume is substantially lower. IEX represents ~2–3% of consolidated volume. Daily volume for a stock like AAPL on IEX may be 2–5 million shares vs. 50–80 million on the full tape.
• Some tickers have zero trades on IEX on any given day. Thinly traded names have no bars on the days when nothing traded on IEX.
• OHLCV bars may differ from the full tape. Since IEX sees a subset of trades, the Open, High, Low, and Close prices may not match the consolidated tape values.
• Academic measures will be affected. Realized volatility, bid-ask spreads, Amihud illiquidity, jump detection, and autocorrelation statistics computed from IEX-only data may differ from those computed from the full tape.

When IEX data is appropriate:

• Cross-sectional studies (all tickers observed under the same conditions)
• Studies of IEX specifically (market share, execution quality, routing behavior)
• Studies of highly liquid names (Q5 quintile) where IEX has better representation
• As a free complement to WRDS/TAQ, which researchers may have through their institutions
• Prototyping and teaching, where exact magnitudes are less important than demonstrating methods

When IEX data is NOT appropriate:

• Studies requiring complete volume or turnover figures
• Studies of illiquid stocks that rarely trade on IEX
• Studies where NBBO (National Best Bid/Offer) prices are needed — IEX quotes reflect IEX's book, not the NBBO

How to identify the data source: Each bar has a source column; every bar is source="iex" (IEX Exchange HIST).

Why not use a full-tape source?

Consolidated tape data (CTA/UTP) is owned by NYSE and Nasdaq. Providers who redistribute it 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 should supplement this library with institutional access to WRDS/TAQ or similar licensed sources.

Trade corrections and cancellations

Status: Known limitation, documented 2026-08-22

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. Researchers whose designs are sensitive to busted trades should take this into account.

Extended-hours data is not included in either version

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.

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No other issues reported

This page will be updated as issues are discovered. Check back after each data update.

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Report an issue

Email admin@hfdatalibrary.com with the ticker, date(s), and description. See the contact page for full reporting guidelines.