Hi Everyone am kind of new so just starting to play with the the Alpaca platform,
I was looking at the bid ask spread for some symbols and noticed that in some cases (I honestly didn’t look at every case), the bid/ask spread from the alpaca quotes api had a higher (considerably higher) spread than what I observed from other brokers . the ask price from alpaca was the same as other brokers but the bid on the alpaca quote api was much lower.
has anyone else noticed?
@algire The issue may be you are only fetching IEX data. Those are only quotes from the IEX exchange which are a small subset of full market NBBO quotes. Check the bid and ask exchange. If it’s always 15 then that is the problem. 15 is the code for IEX. To ensure you are getting full market quotes add a parameter feed=sip to your query.
That may be the issue and fix the problem?
i am most certainly using iex at the moment. so it sounds like to get accurate data we need to include sip in the query, which needs the subscription correct?
hmm ok,
thanks for clearing that up…i guess that explains the difference when I was comparing the alpaca quote results to other sources
@algire As long as you do not fetch data any more recent than the previous 15 minutes, One can specify the feed=sip using the Free data plan without subscribing to a paid data subscription. Ensure end < current_time - 15Min.
request:
https://data.alpaca.markets/v2/stocks/aapl/quotes/latest?feed=sip’
response:
{
“message”: “subscription does not permit querying recent SIP data”
}
@algire The latest endpoint assumes ‘as of the current time’ (ie there isn’t a way to specify an earlier time). The most recent 15 minutes of full market quotes (ie SIP NBBO quotes) are restricted for users of the Free Market Data plan. If one has a Free data plan then specify feed=IEX and not SIP. However, of course those quotes will not be full market NBBO and can vary substantially from the NBBO quotes.