Missing Data in Historical Minute Bars for SPY

There are missing records for historical minute bars. For example, for SPY, there is no minute bar from 9:35 am EDT to 9:48 am EDT on 2020-03-09. The same thing happens to both GO and Python API.

This is not an isolated case, it happens randomly day to day to different symbols.

@ksam In the specific case for 2020-03-09 between 9:35 - 9:48 am ET, there was a market wide trading halt triggerred by the huge selloff at market open. No stocks were traded during that time (and therefore no bars were generated). Take a look at this news article.

In general however, the will be no bars created if there were no “valid” trades during that bar. This is the typical cause of “missing” bars. Take a look at this post for background on how bars are created.

@Dan_Whitnable_Alpaca Thanks for looking into this and the additional information! Greatly appreciated!