Where does the data come from?
We connect directly to the exchanges to consume the CTA and UTP Feeds, we do not go through 3rd party providers. In the datacenter with the exchanges - a cable going from our servers to their servers.
We connect directly to a variety of institutional level sources.
We connect to the streams of the highest volume exchanges to consume the level 1 and 2 orderbooks directly from the source.
What is the difference between Pro and Non-Pro
The professional status is determined once you sign up on the website and complete a small list of questions. The data is the same for each, however exchange fees are much higher for professional users which is the reason for the price difference.
Is the data survivorship bias free?
Yes, we do not remove companies that have been delisted from the exchanges. We store the data exactly as it happened on that date in time.
Which exchanges are included?
We include all 16 public exchanges + dark pools. Our feed contains 100% market volume for US trading.
What symbols are included?
All symbols in the FINRA OATS list are included in our feed. You can see the full list here: https://www.finra.org/filing-reporting/oats/oats-reportable-securities-list
Is your data split adjusted?
How should I go about reporting a possible data discrepancy?
For troubleshooting help, please contact email@example.com or the widget in the bottom right corner, with details regarding what you might think is an error.Specific tickers, times, and endpoint paths/URLswill help more than anything to figure out what is causing any error, and how to fix it.
How does your data deal with missing minutes where no trades occurred?
For aggregates, nothing is generated when no trades occur. For historical ticks: We do not calculate bars or do any sort of gap filling for time. When you make an API call for a specific time range, you get the raw transactions, if any took place within that range.
Can I specify whether ETH data can be excluded? (e.g. if I want 4-hour bars, I'd like to be able to select whether it's RTH only)
Historical aggregates don’t have the option to only return intraday or pre-post market reading. What you can do is request data in 5, 10, 15, or 30 min increments between 9:30AM and 4:00PM and construct bars for whatever timeframe you want.
What timezone are the timestamps (.t) in?
The data is in Unix Timestamps, but most languages parse that into the local timezone (EST)