Hi team,
I’ve been backfilling historical single-stock option trades via GET /v1beta1/options/trades (OPRA feed) and found two trading days where the morning session appears to be missing from the source data. The historical option data regularly opens (13:30 UTC EDT / 14:30 UTC EST); these two start hours late and have anomalously low volume:
| Date | First trade (UTC) |
|---|---|
| 2/26/2024 | ~15:13 |
| 3/15/2024 | ~15:52 |
Reproducible example (NVDA $900 call, expiring 2024-03-15 — an ATM contract that traded heavily all day):
GET https://data.alpaca.markets/v1beta1/options/trades
?symbols=NVDA240315C00900000
&start=2024-03-15T00:00:00Z
&end=2024-03-16T00:00:00Z
&limit=10000&sort=asc
- The first returned trade is at 2024-03-15T15:57:07Z; there are zero trades before ~15:57 UTC.
- A morning-window query (start=2024-03-15T13:30:00Z&end=2024-03-15T15:00:00Z) returns 0 trades.
- For comparison, the same contract / adjacent dates (e.g. 2024-03-14) return trades from 13:30 UTC as expected.
Since the regular session opened at 13:30 UTC (EDT) and this was an actively traded ATM contract on a triple-witching expiration day, the absence of any morning prints looks like a gap in the historical trade data rather than genuine no-trade activity. The pattern is consistent across all contracts on those two dates, not just this one.