I am working on an algorithm that tries to detect gap-downs. Say I request a barset with a limit of 15 bars at 9:35 in the morning. What I want is 5 bars from today and the last 10 from yesterday’s market hours, not 5 from today and the last 10 from pre-market trading hours. Is there a way to configure this?
If not, being able to exclude pre-market and after hours data in barsets might be a much needed fix to Alpaca.
Thank you!