data / prices / px.eq.us.extended
Premarket / postmarket prices px.eq.us.extended
Extended-hours quotes and trades, with the quote and its size kept alongside every print.
PIT · Pro tier · 2010-01 → today · 612M rows
Coming soon — not served by the API yet.
Methodology
Extended-hours prints come from thin books, and a single off-exchange cross can move the last price by several percent on a few hundred shares. Each row therefore keeps the quote alongside the trade — bid, ask and their sizes — instead of collapsing to a last price, and the session is an explicit column rather than inferred from the clock. Timestamps are the venue's, unconverted, so a research loop running in another timezone cannot quietly misalign a premarket print with the previous close.
Schema
| Column | Type | Role |
|---|---|---|
as_of_ts | timestamp | knowledge time · UTC |
effective_ts | timestamp | quote time · US/Eastern |
symbol | string | ticker in force on effective_ts |
session | string | premarket · postmarket |
bid | float64 | best bid |
ask | float64 | best ask |
bid_size | int32 | shares at the bid |
ask_size | int32 | shares at the ask |
last | float64 | last trade |
last_size | int32 | shares in the last trade |
venue | string | reporting venue |
Use cases
- Study overnight gaps against the prior official close.
- Measure premarket liquidity before sizing an open auction order.
- Filter event studies for reactions that happened outside regular hours.
Background
Related packages
- px.eq.us.daily — US Equities · Daily OHLCV
- px.eq.us.minute — US Equities · 1-minute OHLCV