Alpaca market data so bad

Alpaca:
CWBR (‘2021-06-23’, 1.2, 1.22, 1.16, 1.21, 580421)

Yahoo:
Jun 23, 2021 1.1600 1.2200 1.1600 1.2200 624,040

open price was like 1.2 vs 1.16… this is like 3%+ diff…

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The Alpaca data is based on the same SIP feeds which most data providers use. The SIPs also provide guidance on how to calculate the High, Low, Close and Volume data. For this reason, all data providers generally have the same data. There can be discrepancies though. One area is in open prices. The SIPs don’t give guidance on how to calculate open prices. Different data providers may have slightly different rules for that. I have also seen where some providers do not calculate volume correctly. The SIPs provide separate guidance on which trades to include for pricing and which to include for volume. Some providers only include those trades which used are for pricing which is not what the SIPs recommend.

So, let’s look specifically at CWBR on 2021-06-23. Below is the Alpaca data. I’ve fetched it using the python SDK

Here is the Alpaca data…

_

Here is the Yahoo data…

And here is NASDAQ just for comparison…

So, a few things to notice… the High, Low, and Close prices all match. The Alpaca and Nasdaq volumes match but Yahoo is less. I didn’t check, but in the past this has been because they also exclude, incorrectly, trades which are excluded from HLC prices. The Alpaca Open prices are also different. As mentioned, the SIPs do not give guidance on which trades to include/exclude in the open prices. I believe NASDAQ and Yahoo simply exclude any trades they would exclude in the HLC prices. Alpaca however also includes “Market Center Official Open” trades (condition Q) when determining the open prices. Let’s take a look at all the trades which occurred for CWBR on 2021-06-23 at open.

Notice Alpaca is picking up the Market Center Official Open of the NYSE Arca exchange as it’s open price. However, Yahoo and NASDAQ choose the NASDAQ OMX trade (which occurred .75 seconds later) as their open.

Hope that helps explain some of the data difference between data providers.

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Thanks for the detailed explanations, learned a lot BTW.

Wouldn’t it be nicer to have the same exclusion/inclusion rules as Yahoo and Nasdaq? that would make Alpaca more acceptable by more users? because users usually compare the prices with Yahoo, to be honest. having the same rules will get Alpaca data more users in my opinion. just my 2 cents.

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