api.polygon.historic_agg returns incorrect timestamp

Ronan Dunham

symbols="TSLA"
minute_history ={}
minute_history[symbols] = api.polygon.historic_agg(
    size="minute", symbol=symbols, limit=6,to='2020-01-03 14:59:00-0500'
).df
df=minute_history[symbols]
df

the output seems as below:

i am only looking at last 6 data points (each every last 6 mins before 1-3 14:59 pm.

What is wrong here. Please help

vladisld

https://forum.alpaca.markets/ is probably a better place to ask about it.

backtrader

Without knowing nothing about that API I would argue that this call

@Ronan-Dunham said in api.polygon.historic_agg returns incorrect timestamp:

minute_history[symbols] = api.polygon.historic_agg(
    size="minute", symbol=symbols, limit=6,to='2020-01-03 14:59:00-0500'
).df

returns probably the right things,. i.e.:

A 1st timestamp which is the beginning of the epoch adjusted for the timezone -5 (hence 19:00 on 1969-12-31, instead of 00:00 on 1970-01-01)
The 1st additional 5 bars to honor the limit=6 (1 timestamp bar + 5 data bars)
The to='2020-01-03 14:59:00-0500' can obviously not be reached, because there are many more minutes than 6 from the beginning of the simybol (apparently it started trading on 2016-06-29 15:25 UTC, which was probably the pre-market before the opening at 15:30 UTC)

There is no obvious from limitation in the call, so the API seems to be doing its best to grant the request as issued.

Ronan Dunham

Hi @backtrader ,

Thank you for the reply.

api = alpaca_trade_api.REST(
    base_url=base_url,
    key_id=api_key_id,
    secret_key=api_secret)

this is indeed alpaca_trade_api.REST(). How can I get only the last 6 data bars from the code? what changes would i have to make. Would you happen to know? Thanks in advance.

@vladisld I did post in alpaca forum but havenot received any feedback for days. I seem to get help here more often. Sorry didnot mean to spam this forum.

backtrader

To me it would seem sensible to try a from parameter.

The problem is the limit=6, which seems arbitrary. Backfilling is difficult, because you may know what you want, but APIs have to cope with facts like non-trading hours. That's why you usually says from => to and get the number of bars that are available, regardless of non-trading days and non-trading hours.