Introducing

Changes to Aggregate Feed

Jul 19, 2018

We are making a couple small changes to the aggregate feed tick schema. We are removing a few less useful attributes, and adding some that have been much requested.

The updated schema will begin streaming this upcoming monday ( July 23rd, 2018 ).

Before:

type Agg struct {
	Symbol 		string		`json:"sym"`
	Volume 		uint32		`json:"v"`
	Transactions 	int		`json:"x"`
	Open		float64		`json:"o"`
	Close		float64		`json:"c"`
	High		float64		`json:"h"`
	Low		float64		`json:"l"`
	Average		float64		`json:"a"`
	TotalValue 	float64		`json:"t"`
	Start		int64		`json:"s"`
	End		int64		`json:"e"`
}

The new Schema:

type Agg struct {
	Symbol 		string		`json:"sym"`
	Volume 		uint32		`json:"v"`
	AccumulatedVol 	uint64		`json:"av"`
	OpeningPrice 	float64 	`json:"op"`
	VWAP 		float64 	`json:"vw"`
	Open		float64		`json:"o"`
	Close		float64		`json:"c"`
	High		float64		`json:"h"`
	Low		float64		`json:"l"`
	Average		float64		`json:"a"`
	Start		int64		`json:"s"`
	End		int64		`json:"e"`
}

So we have removed

Transactions
and
TotalValue
since those are of little use.

We have added:

AccumulatedVol
- Accumulated volume for the entire day up to this tick. This is synced from the exchanges and can vary slightly from doing a sum of all aggregates.

OpeningPrice
- Opening price for this symbol for the current day. This will be set to 0 until 9:30am when official market open happens.

VWAP
- Volume weighted average price.

From the blog

See what's happening at polygon.io

polygon plugin for chatgpt Feature Image
announcement

Announcing the Polygon ChatGPT Plugin

Introducing the Polygon plugin for ChatGPT, a powerful tool that simplifies financial research by providing easy access to real-time and historical market data for Stocks, Options, Indices, Forex, and Crypto.

Team Polygon Profile Photo

editor

Team Polygon

indices data has arrived Feature Image
announcement

Indices Data Has Arrived

We are excited to announce the launch of the Indices API endpoints, offering real-time and historical market data for over 11,400+ Indices, including the S&P 500, Dow Jones Industrial Average, Nasdaq-100, and the VIX. With access to comprehensive market data, businesses and individual investors can make informed decisions in today's rapidly evolving financial markets. We have brought the same low-latency and developer-centric API design of our

Team Polygon Profile Photo

editor

Team Polygon