I see. It would interesting to see correlation data for IEX only vs. Polygon prices.
That leads me to my next question (I’m pretty new to all of this). I’ve been backtesting/optimizing my algo only on the minute bars closing price, assuming instantaneous execution. Clearly I need to take into account more than this.
According to the free IEX cloud API, there is no delay for IEX data, so I assume it’s the same for Alpaca. Perhaps just using the latest_quote and only symbols from IEX would get me the latency I have designed my algo around? I figure it’s normal to run algorithms on individual trades and not just aggregates, right?