Hey all,
Can someone confirm that I am able to receive pre market volume data and pre market quote Data via sip in real time during the pre market Hours of that day with the pro subscription? I found the iex pre market data is sometimes not available (8:00am-9:30am) on free tier.
@mtrading Quote, trade, and aggregated bar data is technically available 24x7. If Alpaca receives data from the SIPs or from IEX, then it is immediately available to fetch or stream. This is independent of time or whether it is during market hours or not.
Volume data is provided in the aggregated bars. Something to note is that bars are only created if there are "non-excluded trades” during the bar. A common trade condition which excludes a trade is an “Odd Lot” trade (condition I) which is a trade less than a full lot, which is typically 100 shares. During pre-market there may not be many traders trading in full lots. Therefore many excluded trades and therefore often many “missing” bars. That is probably the issue with not receiving bars from IEX. There simply are not a lot of large volume traders trading on the IEX exchange during premarket.
Thanks for the clarification, that might explain the inconsistency that I am experienceing when getting bars and quote in premarket, with sip data that should be resolved, as the volume I am lookign for is there via other brokers like TradeZero
@Dan_Whitnable_Alpaca the 15 min delay for sip data is gone on pro subscription right? so I catually get real time data for last bars?
@mtrading Correct. There is no 15 minute delay if subscribed to Algo Trader plus market data. All quotes, trades and bars in that case are real time full market data.