Which timestamps are returned for Polygon’s stock trades and NBBO quotes?
We return a UNIX UTC/GMT nanosecond timestamp for each trade and quote.
Through the Trades endpoint and the Quotes endpoint, we provide the SIP timestamp, the participant timestamp, as well as the TRF (Trade Reporting Facility) timestamp. The SIP timestamp is the timestamp of when the SIP received this trade from the exchange which produced it. The participant timestamp is the timestamp of when the trade was actually generated at the exchange. The TRF (Trade Reporting Facility) timestamp is the timestamp of when the trade reporting facility received this trade.
Our WebSocket Trades and Quotes feeds return the SIP timestamp.
To convert the timestamps, you can use this website EpochConverter.
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- Title
- How does Polygon’s feeds handle canceled trades?
- FAQ Tag
FAQ
- Trades Tag
Trades
- Description
- All trades that occur will be included in our data feed, even if they are later canceled. Canceled trades are indicated by the Trade Correction field ‘e’.
- Title
- Why are there missing aggregates in Polygon’s data?
- Aggregates Tag
Aggregates
- Trades Tag
Trades
- FAQ Tag
FAQ
- Description
- We do not populate an aggregate unless the Open, High, Low, Close values changed or there were eligible trades that occurred during that aggregate period.
- Title
- Can I execute trades through Polygon’s platform?
- FAQ Tag
FAQ
- Description
- Unfortunately, no. We do not provide a platform for executing trades. We are a market data provider specializing in providing real-time and historical Stock, Forex, Crypto, and Options data to individual users as well as businesses.