I’ve been seeing weird variations in the daily close prices from the Alpaca Bars API (https://data.alpaca.markets/v1/bars/day) when comparing to other data sources (Nasdaq, NYSE, Yahoo). More so than other sources vary amongst themselves. After digging and compiling data from all sources, I put together a chart that shows daily close price variance for 1. Alpaca vs Nasdaq, and 2. Nasdaq vs Yahoo. Blue is Yahoo Finance which basically looks like a flat line compared to the variance in Alpaca vs Nasdaq data. This seems to be the trend when comparing Alpaca to any other data source I can get my hands on.
One thing I’ve observed, is that Alpaca’s close prices seem to match the last price of non-after-hours on an intra-day chart, however other data sources seem to get their close price from the first price in after hours. For example, on a 5min chart for TOT on 3/26/20, the closing price for the 3:55 bar is $35.99, which is what Alpaca has as the daily close for TOT on 3/26. However the next bar of data at 4:00 shows the close at $35.37 which is what Google, Yahoo, and NYSE data show as the daily close for TOT on 3/26.
I know these variations can seem insignificant, but when compared to other sources, there’s pretty much none. So I’m just looking for a reason behind the price differences. Considering that Close prices are very important for calculating technicals, this seems worth a conversation. If anyone at Alpaca, or beyond, have any thoughts or insight on what I’ve found, I would love to hear it!
Thanks, and sorry for the deep dive. Hope it makes sense.