I was using streaming trade data from Polygon with StreamConn(data_stream=‘polygon’), and I noticed for some stocks the trade data have duplicates while some stocks are OK.
For example, I was streaming trade data for CIEN for 10mins from 10:50am to 11:00am EST today, and I aggregated during runtime to get total volume of 127492, and total number of trades of 600. Then I tried Polygon API historic_trades_v2() for the same period, which gives total volume of 63746, and total number of trades of 300. These are exactly half of streaming data.
When I look at my log of each trade data, I do notice same trades appear exactly twice. Again, not every stock has this issue.
I wonder if anyone has seen this before?