Could someone explain how Alpaca computes volume for 1-minute bars? I just bought the unlimited plan to get access to the SIP feed. And yet, for the 9:30-9:31am bar for AAPL today (2025-05-27), I get wildly different volume numbers:
- alpaca iex: 14k
- alpaca sip: 1.4M
- yfinance: 3.1M
- tradingview: 62.5K
My strategy uses VWAP heavily so I’m not sure what to do here…
Does yfinance include opening auction volume? In future bars the discrepancy in volume is about 20bips which is fine