This morning I started getting minutebar data with official open price of $0 and average price of $0. Also, the high price often gets returned as $0 as well. I am connecting to web sockets directly and data prior today has come through without issue. Is there any insight into what is going on? My algo depends on accurate minutebar data to execute trades and would be great to get some clarity on this.
I’m seeing the same behavior, this was working prior to today for me as well. accumulatedVolume, officialOpenPrice, and averagePrice are always 0. Intermittently closePrice, highPrice, and lowPrice are all 0.
dont take in NaN’s… see if that fixed it
The issue is still happening with both versions of the market data stream. Here’s the raw wscat results
wscat -c wss://stream.data.alpaca.markets/v2/iex
Connected (press CTRL+C to quit)
< [{“T”:“success”,“msg”:“connected”}]
{“action”: “auth”, “key”: ***, “secret”: ***}
< [{“T”:“success”,“msg”:“authenticated”}]
{“action”: “subscribe”, “bars”:[“QQQ”]}
< [{“T”:“subscription”,“trades”:,“quotes”:,“bars”:[“QQQ”]}]
< [{“T”:“b”,“S”:“QQQ”,“o”:322.52,"h":0,“l”:0,“c”:0,“v”:54,“t”:“2021-03-02T15:01:00Z”}]
< [{“T”:“b”,“S”:“QQQ”,“o”:322.6,“h”:322.6,“l”:322.25,“c”:322.25,“v”:650,“t”:“2021-03-02T15:02:00Z”}]
< [{“T”:“b”,“S”:“QQQ”,“o”:322.62,“h”:322.6,“l”:322.44,“c”:322.6,“v”:246,“t”:“2021-03-02T15:03:00Z”}]
< [{“T”:“b”,“S”:“QQQ”,“o”:322.42,"h":0,“l”:0,“c”:0,“v”:21,“t”:“2021-03-02T15:04:00Z”}]
wscat -c wss://data.alpaca.markets/stream
Connected (press CTRL+C to quit)
{“action”: “authenticate”,“data”: {“key_id”: ***, “secret_key”: ***}}
< {“stream”:“authorization”,“data”:{“action”:“authenticate”,“status”:“authorized”}}
{“action”: “listen”, “data”: {“streams”: [“AM.QQQ”]}}
< {“stream”:“listening”,“data”:{“streams”:[“AM.QQQ”]}}
< {“stream”:“AM.QQQ”,“data”:{“ev”:“AM”,“T”:“QQQ”,“v”:290,"av":0,“op”:0,“vw”:0,“o”:322.8,“c”:322.84,“h”:322.84,“l”:322.84,"a":0,“s”:1614697800000,“e”:1614697860000}}
< {“stream”:“AM.QQQ”,“data”:{“ev”:“AM”,“T”:“QQQ”,“v”:290,"av":0,“op”:0,“vw”:0,“o”:322.955,“c”:322.565,“h”:322.565,“l”:322.44,"a":0,“s”:1614697860000,“e”:1614697920000}}
< {“stream”:“AM.QQQ”,“data”:{“ev”:“AM”,“T”:“QQQ”,“v”:200,"av":0,“op”:0,“vw”:0,“o”:321.985,“c”:322.01,“h”:322.01,“l”:321.985,“a”:0,“s”:1614697920000,“e”:1614697980000}}
< {“stream”:“AM.QQQ”,“data”:{“ev”:“AM”,“T”:“QQQ”,“v”:51,"av":0,“op”:0,“vw”:0,“o”:321.95,"c":0,“h”:0,“l”:0,“a”:0,“s”:1614697980000,“e”:1614698040000}}
The data seems pretty messed up all around. I am not using websockets, just getting 5 minute candles and the candles are full of incorrect data as well.
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