Hey @Dan_Whitnable_Alpaca thanks for the great tip. I took your advice, and dug in, and what I found is that Alapca seems to be using the exchange timestamp for aggregates, whereas Polygon and TradingView appear to be using the SIP timestamp. Said another way, due to Alpaca using the exchange timestamp instead of the SIP timestamp, the trades are being reported in a different order. However, if you sum the volume from 7AM EST to 8AM EST, the total volume is almost the same between providers.
Here’s an example where Alpaca is aggregating a trade into the prior minute bar (7:59) because it’s using the exchange timestamp, but Polygon and TradingView are aggregating into the 8AM bar because they’re using the SIP timestamp.
Unfortunately this leads to a large discrepancy around 8AM EST; likely due to the huge influx of orders that flow into the market at this time, which I believe has something to do with many brokers coming online at this time. Either way, it’s a problem. Specifically for my strategies, this difference leads to trade signals that don’t occur on Polygon/TradingView, and thus I’m hesitant to just deal with it.
Why is Alpaca not using SIP timestamps like that other vendors? It’s not just Polygon, and TradingView, but my other brokers as well i.e. InteractiveBrokers, and TradeZero.
TQQQ on 5/4/2022
Alpaca Trade ID: 271
Polygon Trade ID: 271
Is there any chance Alpaca will change to the SIP timestamp for reporting trades/aggregates? If not, is there anyway to get the SIP timestamp from Alapca? If so, I could resolve this issue on my end and aggregate my own bars.
Any help is much appreciated. I really feel Alpaca is so close to being the ideal one stop shop solution for quants, but with these data issues, I’m stuck having to glue together various providers. Not to mention the additional costs.