Hi everyone,
I’m trying to get my pre-market gap scanner results to match my backtest results, but I’m running into consistency issues.
My setup:
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I scan pre-market data from 04:00–09:30 ET
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I run the scanner immediately after pre-market (around 09:31 ET)
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My strategy relies on this data for entries shortly after the open
The issue:
When I run the scan right after pre-market, the results are inconsistent and don’t match my backtest for the same date. The list of symbols keeps changing and doesn’t align with what the backtest produces.
However, if I run the exact same scan later in the day (after market close), the results then match the backtest perfectly.
This makes it difficult to rely on the scanner in real-time, since I need accurate pre-market data before the open.
My question:
Is there a delay or data finalization process with Alpaca’s historical or SIP data that would cause pre-market data to be incomplete or inconsistent right after 09:30? FYI have the paid subscription for algo trading plus so there’s no 15 minute delay
And if so, what’s the best way to get stable, backtest-matching pre-market data immediately after the session ends?
Any insight into how others handle this would be greatly appreciated.
Thanks in advance