Posts in trades

More posts in trades

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Understanding Aggregate Bar Delays

Sometimes users reach out to us confused about why they receive an aggregate bar late or twice through our WebSocket feed. This behavior is intentional and designed for quality assurance purposes on our end, here’s why: Trades are occasionally sent to us late. FINRA, for example, has up to 15 minutes to report a trade that happened on any of the dark pools. We deal with these delayed trades differently for second and minute aggregates. Second Aggregation: For sec

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Jack Bell

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Aggregate Stream Optimizations

We have changed both channels to only broadcast updates on the tickers which have actually had trades in that timespan. Which means the average is ~1000 ticks/second instead of ~8000. This allows better throughput, and less processing messages of tickers that have not changed.

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Polygon Team

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Schema Updates

We are updating the schemas of the TRADES and QUOTES real-time data feeds. All other real-time feeds, and APIs will stay as they are currently. We are changing the schema of the trades/quotes for smaller and only unique per tick data attributes. This will make the messages smaller, enabling less bandwidth and less processing per tick for encoding/decoding the JSON. New schema ticks will start streaming on market open, Monday, January 29th. Current Trade Schema: { sym: 'MSFT', // Symbol sym

Polygon Team Profile Photo


Polygon Team