@Angelo_Mendonca Very good questions.
“Which feed provides the most accurate/current bid-ask during extended hours — SIP, IEX, or BOATS?”
During regular extended hours, 04:00-20:00 ET feed=sip is the correct feed to use. SIP data is only consolidated and distributed during those hours. During the overnight trading session 20:00-04:00 feed=boats is the correct feed to use. BOATS data is only distributed during that time.
feed=iex only provides data from a single exchange (the IEX exchange), and is not full-market, and is distributed only when that exchange is open, 08:00-17:00 ET. Its primary use case is testing and should generally not be used for live trading decisions.
“Does SIP continue to publish NBBO quotes after 4:00 PM, or only trades?”
Technically, NBBO quotes are only defined during regular market hours 9:30-16:00 ET. The SEC requires exchanges to send their best quotes to one of the Securities Information Processors (SIPs) only during market hours. The SIPs then consolidate these quotes and create National Best Bid Offer (NBBO) quotes, which are distributed to brokers and other data consumers. The exchanges often continue sending quotes to the SIPs after hours, but they are not required to. The SIP’s continue to publish quotes after 4:00 PM ET, but they are not technically NBBO quotes.
Additionally, the SEC requires market makers to always maintain a quote on an exchange during regular market hours. There is no requirement for extended-hour trading, and most market makers do not participate in extended hours. One will often find there is no quote or a 0 bid or ask price for some symbols during extended our trading because of this. During market hours there will always be a non-zero quote.
The primary purpose of NBBO quotes is to enforce Rule 611 under Regulation NMS, formally known as the Order Protection Rule. This requires (most) orders to be filled at or better than the current NBBO quote. However, Rule 611 only applies during market hours. There is no requirement for how orders are filled during extended-hours trading. It is common to see trades execute worse than the current quote or better than an order’s current limit price in extended-hours trading. This does not happen during market hours.
The short answer is that the SIPs will continue to publish quotes after markets close, but orders interact with these quotes differently than during regular market hours.
“Is there a recommended approach for getting a reliable limit price during after-hours via the API?”
From 4:00-20:00 use feed=sip. From 20:00-04:00 use feed=boats.