How does Polygon create aggregate bars?
The conditions that are taken into consideration when creating aggregate bars are quite complex.
Users trying to recreate the aggregate Open, High, Low, Close and Volume values from our tick data API often get confused about why their values do not match ours or other popular data sets like Yahoo Finance, Bloomberg, etc.. This can also cause confusion for users seeing trades come in through the real-time WebSocket connection that appear to be higher or lower than the High and Low values made available through our Aggregates or Snapshot endpoints.
There are specific ‘rules’ that revolve around the ‘Sale Conditions’ defined in the UTP and CTA plan specifications that must be followed to calculate these aggregate values correctly. You can learn more about our aggregation process in our blog post - Understanding Trade Eligibility.
You can also use our Conditions endpoint to see a detailed list of which ‘Sale Conditions’ affect the ability for a trade to update the aggregate values. It is up to each vendor to calculate this data, so it is common for there to be slight differences between vendors. There is no source of truth for OHLC data. We chose to use the guidelines in place by CTA and UTP because we believe that to be true.
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