hello, are there any plans to get feeds of trading information from the various dark pools? polygon has this, so i figure its possible for alpaca to get it as well.
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This would be very interesting.
@Homer The data reflected in both the trades and aggregated bars endpoints include ALL trades independent of where they are executed. This includes so called ‘dark pools’. A ‘dark pool’ is really any non-exchange trading venue. Nothing nefarious. Actually, most Alpaca trades are executed in ‘dark pools’ through our partners such as Citadel and Virtu. The SEC requires all trades to be reported to a SIP within 10 seconds of execution independant of source. That SIP data is what Alpaca reports. BTW the ‘exchange’ where the trade was executed is included in the trade data. The codes can be found here. Codes D and E constitute most of what one would consider ‘dark pools’.
Hi Dan,
Thanks for the follow-up. What about quotes and information the the amount of buy, sell, and the prices of those orders? Dark pools are not required to share that information like lit exchanges. Without a tap into the DP’s one would not really know the active amounts and pre-trade pricing of buys and sells which account for damn near most trades about to happen.