MRK bad data for 2021-06-11

Alpaca Market Data
1

sip daily adjusted or not. bad l value

  {
    "c": 65.68,
    "h": 66.18,
    "l": 13.19,
    "n": 145181,
    "o": 66.06,
    "t": "2021-06-11T04:00:00Z",
    "v": 23794463,
    "vw": 65.55
  },

take minute data of the same day and this 13.19 number doesn’t even exist there.

2

Hi :waving_hand:

That low value is coming from this trade:

$ curl -s -H "APCA-API-KEY-ID: ${APCA_API_KEY_ID}" -H "APCA-API-SECRET-KEY: ${APCA_API_SECRET_KEY}" "https://data.alpaca.markets/v2/stocks/trades?symbols=MRK&start=2021-06-11T21:11:15.285373952Z&limit=1" | jq .
{
  "next_page_token": "TVJLfDE2MjM0NDU4Nzc2MDY0OTQ3MjB8RHw3MTY5Mjg3NDcwMDEwNw==",
  "trades": {
    "MRK": [
      {
        "c": [
          " ",
          "P"
        ],
        "i": 71692874700088,
        "p": 15.32,
        "s": 225,
        "t": "2021-06-11T21:11:15.285373952Z",
        "x": "D",
        "z": "A"
      }
    ]
  }
}

According to the CTS specification a trade with condition P should update the High / Low value of the consolidated daily bar. You can find more details about bar aggregation rules here.

3

Thanks for clarification. I don’t know about the rules but alpaca minute data dont have that trade inside of it. as well webull daily data, ibkr daily data, google finance yahoo finance etc.

So I am guessing that in this particular case this trade should be omitted. no?