Where can I find “Trade conditions.” meaning? All those: [’@’, ‘F’, ‘I’] flags…
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Hi @steveli - here is some more information for you! Alpaca Data API v2 - Documentation | Alpaca
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Mallory-Alpaca Can you please check why you are missing lots of NBBO quotes on 2019-08-12 for many symbols. Start with ARKK on > 2019-08-12 15:25:00
Polygon is fine. Did you check your data integrity before letting customers access your market data?
BTW, a lot of your “quote conditions” have question marks which is undocumented value.I have a feeling that no one at Alpaca ever validated historical market data.
Hey @SpyToTheSky - We started, earlier this year, capturing our own data from the SIP feeds. Before then we worked with several different providers for historical data; yes, we did do a deep-dive for integrity, but that doesn’t mean there isn’t pieces missing (its a LOT of data).
Thank you for catching this missing data; our team is looking into this now to get these historic quotes.
For our current quotes, generally you should only see an R for the condition. Essentially this means a “regular” quote. Anything with a question mark was loaded from third-party historical data; anything with a letter is data we captured from the SIP feeds. I have made a note to make sure we document this more clearly.
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Mallory-Alpaca, thank you for your clarification. So basically up until some month ago your marked data is somewhat useless (everything with question mark in condition). Good thing i used my polygon subscription for that period. For more recent period i should expect your market data to closely match polygon’s. I will varify that and if true will drop polygon subscription. Really hate paying $200 a month for their historical ticks.
Hey @SpyToTheSky - we’re working on improving the historical data we pulled from SIP feeds and growing it out to be as robust and accurate as the data we’ve pulled ourselves. Its coming, and we’ll keep the community posted on these changes.