Good afternoon!
I think there is a mistake in the minute bar for AAPL with the SIP feed. I grabbed all the trades with start 2023-06-16T17:59:00, end 2023-06-16T17:59:59.999999999 for which I get 731 trades for the market data API, all trades do not have a trade update value. If I grab the minute bar from alpaca the number of trades is 729 and the volume is also different.
The unique trading conditions in my 731 trades are [“@”, “I”, “F”, “4”], these are all included in the volume calculation in accordance to the UTP plan.
I am hoping I am just doing something wrong but it looks like the bar.n value should be equal to the number of trades in that minute?
Would be delighted if somebody could enlighten me and help figure this out together!
Have a good weekend!