I’m streaming tick stock data with SIP data service. Even for the highly liquid stocks such as NVDA, SPY, or TSLA there are data gaps occurring specially after 8:00 am. Data gaps can sometimes be in the order of 3 minutes followed by a large volume of trades in the next minute. It seems that the large volume of trades is actually a delayed bulk from previous minute orders. Here is a snapshot of the tick data received and grouped per minute along with the number of entries (orders) for SPY. Is this caused by the connection? How can I get continuous tick data?
