Getting weird quotes

Alpaca Market Data
1

Hi,
Fairly new here, so apologies if I am missing something…

I am using the c sharp api. I have subscribed to quote updates OK and get data, but I am seeing some really wide spreads for heavily traded instruments. Something must be wrong here ?

For instance, here is the debug output from several updates

25/08/2021 15:36:18 : Quote Streaming: WMT, Exchange: V, AskPrice: 154, AskSize: 2, BidExchange: V, BidPrice: 148.82, BidSize: 3, TimeUtc: 25/08/2021 15:36:18, Current Time: 25/08/2021 15:36:18
25/08/2021 15:36:18 : Quote Streaming: WMT, Exchange: V, AskPrice: 148.87, AskSize: 1, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:18, Current Time: 25/08/2021 15:36:18
25/08/2021 15:36:18 : Quote Streaming: WMT, Exchange: V, AskPrice: 154, AskSize: 2, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:18, Current Time: 25/08/2021 15:36:18
25/08/2021 15:36:18 : Quote Streaming: WMT, Exchange: V, AskPrice: 148.86, AskSize: 2, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:18, Current Time: 25/08/2021 15:36:18
25/08/2021 15:36:18 : Quote Streaming: WMT, Exchange: V, AskPrice: 148.86, AskSize: 3, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:18, Current Time: 25/08/2021 15:36:18
25/08/2021 15:36:18 : Quote Streaming: WMT, Exchange: V, AskPrice: 148.86, AskSize: 2, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:18, Current Time: 25/08/2021 15:36:18
25/08/2021 15:36:25 : Quote Streaming: WMT, Exchange: V, AskPrice: 154, AskSize: 2, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:25, Current Time: 25/08/2021 15:36:25
25/08/2021 15:36:25 : Quote Streaming: WMT, Exchange: V, AskPrice: 148.85, AskSize: 1, BidExchange: V, BidPrice: 95.77, BidSize: 1, TimeUtc: 25/08/2021 15:36:25, Current Time: 25/08/2021 15:36:25

Check that BidPrice! It’s flipping from 148.79 ish to 95.77. I am currently doing this on a paper account.

Does anyone have any explanation for this? Kind of useless to me if price data is wonky like this.

Thanks.

2

Most probably the root cause of these strange data values is your subscription level. The free-tier subscription contains only part of the full market data provided by IEX. The paid subscriptions provide more accurate data. I’ve checked this time interval using the historical quotes request and this request returns me about 100 quotes on my paid subscription.

1 Like