@Dan_Whitnable_Alpaca this response is incredible. Thank you so much for taking the time to break it down. The clarity of your thinking and understanding on this topic gives me comfort regarding the quality of Alpaca’s data feed. I had a feeling that something like this was happening.
Here’s my concern/issue… All my models have been developed using data from vendors like Polygon, TradingView, Interactive Brokers, etc… So you could say that they’ve been optimized to the shape of their data handling practices. Fortunately they all seem to follow a similar method, so there’s an illusion of consistency there. To that end, I can certainly see this as being a use case specific problem. i.e. the seemingly available signal that my models are picking up on from aggregating all trades since 8PM and dumping them on the market at 8AM EST.
I guess I only have two additional questions…
- Is there any chance that Alpaca could provide the SIP timestamp?
- If Alpaca would provide the SIP timestamp, would those timestamps align with the other vendors? I assume you guys are largely sourcing your data from the same vendors, but maybe not?
Either way, I think if Alpaca could provide the SIP timestamps, it would provide additional flexibility to us traders. In situations like mine, we could help ourselves. We could easily store all the data in TimescaleDB or similar and let it generate bars on the SIP timestamp vs the Participant Timestamp.
I can appreciate that this may not be as simple as adding an additional field to the API nor may it even align with Alpaca’s objectives, but any insight you can share on the potential of the SIP timestamp being provided in Alpaca’s data feed would be much appreciated.
Thanks again for your excellent help!