Omitted data for H, L, C with "low" volume

Hi, I see that a lot of data is arbitrarily being set to zero when the volume is below 100 or thereabouts.

I really need that data so I can have an idea of what the market price looked like at those times.

Will these values eventually be filled in or should I find another source of data?

Also, they could be filled in and Alpaca could let us decide if those values are insignificant or not… our computers can handle it… we are algo trading so deciding what data is important is kinda what we do.


For anyone else struggling with this I think I have some valuable information.

The data is being omitted because the volume is below 100. I have checked two other sources to cross reference the volume (webull and yfinance) and the volume reported by the alpaca api is lower by a factor of at least 100.

So yes they are removing data for odd lots, but it also seems that they are creating odd lots by only reporting a fraction of the actual volume.

The question is: why?

alpaca currently only has access to data from 5 exchanges:

  • IEX (Investors Exchange LLC)
  • NYSE National, Inc.
  • Nasdaq BX, Inc.
  • Nasdaq PSX
  • NYSE Chicago, Inc.

Hopefully they get broader market coverage in the future!

@Kithlak Thanks for the info!

I subscribed to the pro data to access the rest of those markets and now I’m using get_bars and get_bars_iter instead of get_barset.

The data is fairly incomplete. There are gaps in the minute bars and around 4 of the most recent days are missing from the bar data.

Is this just because it is currently in public beta and I just need to wait for these things to get sorted out? Or is this the way it will be?