We need per-exchange quote from SIP

Alpaca Market Data
1

Hi, while reading a paper I realized Alpaca isn’t getting all useful information from SIP (unlike the TAQ data provided by CRSP). Mainly because:

SIP feed (both CTA and UTP) provides per exchange BBO + NBBO appendages (see https://www.utpplan.com/DOC/UtpBinaryOutputSpec.pdf page 10, 11).

However, Alpaca only provides NBBO by getting the latest quote in NBBO. For example if national best bid is $19.99 and both Nasdaq and ARCA have quotes @19.99, Alpaca will only show either Nasdaq or ARCA, depending on which quote comes later. But NOT both.

So my question is - can you change the way you aggregate quote sizes so we know all liquidities aggregated across all exchanges?

2

@PatL Thank you for the feedback. You are correct that Alpaca provides only NBBO quotes. This was a conscious decision by the Market Data team because it reflects the use case for most clients. However, as you noted, there can be uses for the non-NBBO quotes. I passed this request on to the team as a potential enhancement.

You may want to look at other data providers such as polygon.io or Intrinio. They may provide quotes with more depth.