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alpacahq / alpaca-py

The Official Python SDK for Alpaca API
https://alpaca.markets/sdks/python/getting_started.html
Apache License 2.0
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[Feature] Choose preferred exchange for historical data #318

Closed sshcli closed 1 year ago

sshcli commented 1 year ago

Is there an existing issue for this?

Is your feature request related to a problem? Please describe.

By default, your unlimited market data plan (Algo Trader Plus) only provides the SIP data, without the option to choose a preferred exchange for historical data. One of the most obvious problem with SIP, is that you get bid and ask from different exchanges very often.

Describe the solution you'd like.

Add more value to your current unlimited market data plan (Algo Trader Plus) Please add the option to choose specific exchange, instead of only use SIP by default.

Describe an alternate solution.

As an alternate solution, maybe apply some kind of filter or tweak at API / SDK level to let us choose the exchange in the same way we can do it to submit orders.

Anything else? (Additional Context)

No response

sshcli commented 1 year ago

The above request only make sense if Alpaca can use from alpaca.trading.enums import AssetExchange to submit orders. Right now, It seems like the order ignores the exchange parameter

alessiocastrica commented 1 year ago

@sshcli This is an API feature request not an issue with the python SDK. The current order routing is not linked to any specific exchange and it's a much more complex mechanism (where we have our prop inventory as well as market makers) so it's not possible to specify the exchange where the order should go through. On the Market Data API, both trades and quotes objects have an indication of the exchange where the trade happened or where the specific quote is coming from.

sshcli commented 1 year ago

@alessiocastrica thanks for your response to this request, I really appreciate it. No problem, let's close this as "not possible"