Hello. This post is really to get clarity on a previous one: Accuracy of streaming / real-time volume and vwap It ended up that Alpaca staff did not provide a response to the last messages from users.
Essence of the original question: Why would volume data from Yahoo Finance and TC2000 be different than that received through the Alpaca API?
Would anyone on the Alpaca team be able to comment? My assumption is that the volumes wouldn’t match due to different exchanges being referenced but I really have no idea how Alpaca compiles their volume and pricing data for their streams (IEX only or combines all known exchanges for instance). If the data from the Alpaca API stream is at least proportional to the rest of the market data sources then I would be less concerned. Thank you.
I was wondering the same and decided to see for myself. I have both Alpaca SIP feed and the advanced plan from polygon.io, which claims 100% market coverage (no idea about Yahoo finance). Since Nov 2023, the number of trades + quotes as well as the sum of the trade-volumes and quote bid/ask-sizes for the top 10 symbols have been almost identical from both sources. I also regularly compare the latency of both data streams (significant difference here). But I would say, don’t believe me, see for yourself, at least for a month.
Thanks for replying. I’m curious if you don’t mind sharing your experience. Assuming you tried the IEX feed initially, why did you move to paid feeds? You mentioned latency. How much latency difference is there?
I’m still interested in hearing from Alpaca on this.