I’ve just subscribed to the paid unlimited data plan and have been testing the real-time collection of minute aggregates for stocks in the S&P 500 (as well as SPY). I use the QuantRocket platform to interface with your API.
I’ve noticed that on certain days, there are several minutes with null price data for highly traded stocks (e.g. SPY), which should not happen. There is no pattern to the null minutes. Here’s a shot of the csv I’ve written the SPY price data to for each minute today:
I’ve also noticed that this happens for many of the stocks in the S&P 500. In fact, there were some minutes where the null prices were received for 500 of the 503 stocks that were being collected. Here’s a shot of how many stocks (out of 503 collected) received null ‘Close’ prices at each minute:
Is there any explanation for the gaps in the stream? What’s the expected latency when streaming minute aggregates for 500-1000 stocks? Keep in mind, I’m using the paid subscription with all exchanges, so data gaps in something like SPY and other S&P mainstays would be very unusual.