I am trying to stream minute bars on BTC/USD and each bar is showing zero values for vwap, trade count and volume, and occasionally there is a missing bar - does anyone have an explanation?
Thanks
I am trying to stream minute bars on BTC/USD and each bar is showing zero values for vwap, trade count and volume, and occasionally there is a missing bar - does anyone have an explanation?
Thanks
Hi
You can find the explanation in our documentation here (in the nice blue box) or here:
Our crypto market data reflects trades and quotes from our own Alpaca exchange. Due to the volatility of some currencies, including lack of trade volume at any given time, we include the quote midpoint prices to offer a better data experience. If in a bar no trade happens, the volume will be 0, but the prices will be determined by the quote prices.