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polygon-io / feature-requests

Feature requests for the Polgon.io Platform. Any bug reports should be opened in polygon-io/issues/issuess
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Add option to exclude dark pool from aggregate data #1

Closed jkoskela closed 1 year ago

jkoskela commented 1 year ago

The OHLCV data has dark pool data mixed in. This produces sub-optimal results for my analysis, and probably others. Tradingview and TDA/TOS don't include this data. I switched to Finnhub because they didn't seem to include it before, but now it is included.

Describe the solution you'd like Add a boolean parameter to the aggregate API, which will exclude dark pool data.

Describe alternatives you've considered I can try to build my own bars from the raw trade data, but I am under the impression that it requires much work to get right.

jrbell19 commented 1 year ago

Hi @jkoskela, Thanks for the feedback. Do you primarily want the volume to be excluded or the prices on dark pools (or both)?

jkoskela commented 1 year ago

Well the prices are real weird around 8am everyday, so I just filter those out. I think that might be from the previous day's late-reported dark pool data. I was also having some problems with my POC calcs. But I don't know if that was caused by the dark pool or just correlated. So I guess I will close this for now. I don't have time to look into it now to be sure.