I am using Alpaca to request market data for BTC/USD on several different timeframes on date 2023-10-23 (see attached images). The value for “high” appears to go haywire sometime around 22:40 that day, showing it going from about 32k up to 45k then back down to 33k in the span of only 30 minutes. That can’t be right. Can someone check on this please?
@Mr_Drawdown The Alpaca crypto bars contain quote mid-prices. Due to the volatility of some currencies, including lack of trade volume at any given time, Alpaca includes the quote midpoint price in each bar to offer a better data experience. If in a bar no trades occur, the volume will be 0, but the prices will be determined by the quote price. The midpoint quote otherwise acts as an actual trade when calculating the bar. Because of this, bars can sometimes seem off if the bid/ask spread is very large.