I’ve been written a historical bar data downloader utilizing the Alpaca API and today I finished it and downloaded some 1 Minute Bar Data for several sample tickers.
And then I checked the data integrity for the downloaded data and I got some errors as below:
[A] 2021-01-04 14:30:00 ~ 2021-09-30 20:57:00
10:37:10.234 [0]: [A] Price integrity error: [ O:(164.3700) > H:(163.7800) ] at [2021-08-18 13:30]i(61148)!
10:37:10.246 [0]: [A] Price integrity error: [ O:(172.1100) > H:(172.0300) ] at [2021-09-15 13:31]i(68563)!
10:37:10.251 [0]: [A] Price integrity error: [ O:(172.3200) < L:(172.4200) ] at [2021-09-21 13:31]i(70100)!
10:37:10.254 [0]: [A] Price integrity error: [ O:(160.3100) < L:(161.1310) ] at [2021-09-30 13:30]i(72781)!
[AACG] 2021-01-04 14:30:00 ~ 2021-09-30 20:00:00
10:37:10.326 [0]: [AACG] Price integrity error: [ O:(2.8500) > H:(2.8200) ] at [2021-04-21 13:30]i(14085)!
10:37:10.329 [0]: [AACG] Price integrity error: [ O:(2.9100) > H:(2.8600) ] at [2021-05-10 13:30]i(15304)!
10:37:10.332 [0]: [AACG] Price integrity error: [ O:(3.1200) > H:(3.1077) ] at [2021-06-16 13:36]i(17100)!
10:37:10.334 [0]: [AACG] Price integrity error: [ O:(2.8900) < L:(2.9000) ] at [2021-06-23 13:37]i(17396)!
10:37:10.340 [0]: [AACG] Price integrity error: [ O:(3.0800) < L:(3.0900) ] at [2021-07-01 13:30]i(17679)!
10:37:10.346 [0]: [AACG] Price integrity error: [ O:(2.7900) > H:(2.7780) ] at [2021-07-12 13:30]i(17969)!
10:37:10.349 [0]: [AACG] Price integrity error: [ O:(3.2900) < L:(3.3000) ] at [2021-07-21 13:39]i(20067)!
10:37:10.356 [0]: [AACG] Price integrity error: [ O:(3.3300) > H:(3.2800) ] at [2021-07-23 13:30]i(20623)!
10:37:10.361 [0]: [AACG] Price integrity error: [ O:(2.8200) > H:(2.8100) ] at [2021-08-13 13:32]i(22406)!
10:37:10.364 [0]: [AACG] Price integrity error: [ O:(2.6300) < L:(2.6700) ] at [2021-08-26 13:30]i(23028)!
10:37:10.370 [0]: [AACG] Price integrity error: [ O:(2.7100) > H:(2.6841) ] at [2021-08-30 13:30]i(23113)!
10:37:10.373 [0]: [AACG] Price integrity error: [ O:(2.7900) > H:(2.7700) ] at [2021-09-07 13:30]i(23345)!
10:37:10.376 [0]: [AACG] Price integrity error: [ O:(2.3600) > H:(2.3500) ] at [2021-09-24 13:50]i(24047)!
[AAPL] 2017-01-03 09:03:00 ~ 2017-12-30 00:59:00
10:37:10.528 [0]: [AAPL] Detected O-price glitch from (143.5100) to (646.0000): [450.1%] at [2017-07-03 22:33], i(72607)
10:37:10.528 [0]: [AAPL] Detected H-price glitch from (143.5100) to (646.2900): [450.3%] at [2017-07-03 22:33], i(72607)
10:37:10.528 [0]: [AAPL] Detected L-price glitch from (143.5100) to (645.2900): [449.6%] at [2017-07-03 22:33], i(72607)
10:37:10.528 [0]: [AAPL] Detected C-price glitch from (143.5100) to (645.7600): [450.0%] at [2017-07-03 22:33], i(72607)
10:37:10.528 [0]: [AAPL] Detected L-price glitch from (645.2900) to (123.4500): [19.1%] at [2017-07-03 22:34], i(72608)
10:37:10.528 [0]: [AAPL] Detected C-price glitch from (645.7600) to (123.4500): [19.1%] at [2017-07-03 22:34], i(72608)
10:37:10.529 [0]: [AAPL] Detected O-price glitch from (645.6900) to (143.5800): [22.2%] at [2017-07-05 08:00], i(72609)
10:37:10.529 [0]: [AAPL] Detected H-price glitch from (646.2900) to (143.5800): [22.2%] at [2017-07-05 08:00], i(72609)
I only downloaded and tested for 5 tickers and I got these.
I think Alpaca should fix this problem ASAP.