If we retrieve historical bars data from Alpaca for ~800 common ETFs, we see this for many of them:
- Open or Close lower than daily bar Low
- Open or Close higher than daily bar High
All those events should be impossible.
Even if we add tolerance to account for possible rounding of values to 2 decimals, the problem still exists, and is significant. A data audit using Yahoo data shows that they do not have this issue. Often, the Yahoo Open or Close are quite different from those reported by Alpaca. Like Yahoo, Polygon is consistent as well.
- Does Alpaca acknowledge this issue?
- What is Alpaca doing to solve this issue?
Historical data is fundamentally wrong.