@rahul Hi Rahul. It’s the real time quotes. As mentioned in the other thread, I’ve got BIG loss because of the HUGE spread gap returned from the Stream API. Please refer to the screenshot. Is there any way to work around this please?
I generally do not reply to posts this old, but there have been several links to this, and I wanted to circle back to resolve the issue.
The fundamental problem is that these individuals were fetching IEX data and not full market SIP data. IEX quotes only reflect the best quotes from the IEX exchange. It is accurate, but it does not represent the full market. SIP quotes, on the other hand, are full market National Best Bid Offer (NBBO) quotes consolidated across all exchanges.
IEX data should not be used for live trading decisions. It is provided primarily for testing when one does not have a market data plan that provides access to real-time SIP data.
The difference can be seen by querying quotes with feed=iex vs feed=sip. The REST historical quotes endpoint returns the same data that is streamed. The following query with feed=iex returns the same WYNN quotes that were posted above. Notice the ask_exchange and bid_exchange are all “V”. That is the IEX exchange code. All these quotes are from that single exchange.
Querying quotes for that same timeframe, but with feed=sip returns the actual NBBO full market quotes at the time. Notice that the ask_exchange and bid_exchange are different.
The Alpaca market data is correct. Traders should stream data from the /sip endpoint or specify feed=sip in REST calls to ensure they are getting full market NBBO quotes. Otherwise, the data is not full market and can be quite misleading.
