Per your market data API, there are no trades for approximately 10 minutes in XLF today between timestamps ‘2021-05-26T16:46:00+00:00’ and ‘2021-05-26T16:57:00+00:00’. In Eastern time, this is about 12:46 - 12:56 PM. To eliminate possible issues on my end, I made a direct request with no page token to ensure I pulled the right data.
This does not look correct and is extremely alarming as I am on the Unlimited plan. Could anybody confirm? Thank you.
I should note that this is not the only occurrence I am seeing for the day. The following image represents the time difference (expressed in seconds) between trades grouped into 1 second intervals.
@Gyoki On 5-26-2021 there was a failure in one of the Alpaca systems used to ingest data from the SIP stream. This caused some of the trades to be missed and therefore some bars were not calculate. The issue was resolved but the missed bars need to be recalculated. That is being done today (5-27-2021) so future requests for this data will be accurate. Thank you for pointing this out.
Interesting. Thank you. When there are (known) issues of this nature are they reported anywhere?
@Dan_Whitnable_Alpaca It looks like the 2021-05-26 data was not recalculated. Can you please update the community as to when the recalculation will be complete?
The data for 2021-05-27 is correct.