Hi!
I’ve been using the websocket to get trades from the market with alpaca for quite some time now.
Every day at 8am EST, the trades are flooded with “junk trades”. This doesn’t only happen in alpaca, it happens with every data provider I’ve used (I haven’t used many though, I’m quite new to this)
I’m not an expert, but my impression is that FINRA dumps all the trades they’ve been receiving during the day exactly at 8AM EST (if this is not the reason, please enlighten me). There is never FINRA activity before 8AM, and the “junk trades” oscilate between the high and the low of the previous hours (from 4am to 8am).
Why aren’t those FINRA trades marked with an “out of sequence” trade condition?
Thanks