Has anyone noticed V2 MarketData coming from a day the market is closed? After converting my Alpaca V2 Bars Data into a pandas dataframe, I can observe a small amount of AAPL bars data that was received on Feb 6, Feb 20, Feb 27 2021 which were all on a Saturday. All of my other data appears to occur over regular market hours and pre-market/after hours data (0400-2000 EST). I don’t believe this is a formatting error from my time as I requested bars in UTC-05:00 time (EST) and the volume coincides with market open and market close timeframes.
The following python line of code allows me to count the number of rows that occurred per day. For a full day of minute bars, that should amount to a max of 960 bars (960 minutes from 0400 - 2000, 390 minutes during regular trading hours 0930-1600). Several days have less than 960 bars given periods of illiquidity outside of regular trading hours (keep in mind this is AAPL which is very liquid). Also note that the markets were closed of February 15 and this is missing from the output as expected. The output shows the three days at the bottom with the smallest numbers of rows all took place on a Saturday!
df.dt.normalize().value_counts()
2021-02-23 960
2021-02-26 960
2021-02-22 960
2021-02-25 959
2021-02-16 937
2021-02-19 935
2021-02-17 934
2021-02-18 931
2021-02-10 928
2021-02-11 916
2021-02-12 904
2021-02-04 904
2021-02-08 902
2021-02-09 897
2021-02-03 869
2021-02-05 867
2021-02-02 853
2021-02-24 822
2021-02-01 583
2021-02-27 133
2021-02-20 80
2021-02-06 77
Name: time, dtype: int64