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Daily market summaries continue to change after markets close #151

Closed mattsta closed 3 years ago

mattsta commented 3 years ago

Is your feature request related to a problem? Please describe. Every day after market close (20:30+), I pull a market snapshot using https://api.polygon.io/v2/aggs/grouped/locale/us/market/stocks/{date}, but often I notice if I pull the result again later, the numbers have changed since the prior request.

The changes include some symbols having their volume/trades decreasing by a significant amount (some symbols have their volume decrease by 500k+ shares after the correction) when pulled at 20:30 vs re-requesting the same historical daily summary hours or days later.

Not sure why the daily summaries continue to change after markets are closed. Corrections? Late running batch aggregations?

Describe the solution you'd like Just curious why daily snapshot trade details are corrected long after markets have closed for the day. If this is an actual technical correction process in the background, would be nice to have a "final accurate time" documented.

Our nightly update process runs some stats across all symbols which takes ~2 hours for the entire market, so running all the stats at 9pm, only to have the numbers continue to change is a bit disruptive.

Describe alternatives you've considered We could try to run it ourselves by logging real time volume throughout the day with a complete websocket feed or requesting per-symbol daily stats in individual requests, but those are more cumbersome than the nice "daily group" interface already.

[[bonus fix request: finally correct the exponential notation for volume in the grouping maybe too? it has to just be a misplaced format specifier somewhere? volume can't be floats.]]

Thanks!

mattsta commented 3 years ago

Some more details:

Here's a (truncated due to github limits) diff against a daily market summary downloaded from /aggs/grouped at 8:30pm ET on 2021-05-18 versus the same request pulled again today.

Overall there are 8,055 diff patch sections between the two downloads.

The diff output is from comparing their sorted and formatted output as:

jq '[.results[]] | sort' orig-2021-05-18.json > sorted-orig.json
jq '[.results[]] | sort' current-2021-05-18.json > sorted-current.json
diff -urN sorted-orig.json sorted-current.json
@@ -12,14 +12,14 @@
   },
   {
     "T": "AA",
-    "v": 5759586,
+    "v": 5759486,
     "vw": 40.4686,
     "o": 41.11,
     "c": 39.84,
     "h": 41.69,
     "l": 39.58,
     "t": 1621368000000,
-    "n": 48108
+    "n": 48107
   },
   {
     "T": "AAA",
@@ -78,25 +78,25 @@
   },
   {
     "T": "AACG",
-    "v": 79620,
-    "vw": 2.9314,
+    "v": 79420,
+    "vw": 2.9315,
     "o": 2.9,
     "c": 2.95,
     "h": 3,
     "l": 2.86,
     "t": 1621368000000,
-    "n": 567
+    "n": 565
   },
   {
     "T": "AACQ",
-    "v": 508190,
-    "vw": 9.8568,
+    "v": 502265,
+    "vw": 9.8567,
     "o": 9.89,
     "c": 9.86,
     "h": 9.89,
     "l": 9.85,
     "t": 1621368000000,
-    "n": 1829
+    "n": 1798
   },
   {
     "T": "AACQU",
@@ -111,14 +111,14 @@
   },
   {
     "T": "AACQW",
-    "v": 47286,
-    "vw": 1.5512,
+    "v": 46986,
+    "vw": 1.5513,
     "o": 1.6,
     "c": 1.54,
     "h": 1.63,
     "l": 1.5,
     "t": 1621368000000,
-    "n": 216
+    "n": 214
   },
   {
     "T": "AADR",
@@ -166,14 +166,14 @@
   },
   {
     "T": "AAL",
-    "v": 39520302,
-    "vw": 23.6427,
+    "v": 38662412,
+    "vw": 23.6428,
     "o": 23.54,
     "c": 23.56,
     "h": 23.94,
     "l": 23.08,
     "t": 1621368000000,
-    "n": 168647
+    "n": 165091
   },
   {
     "T": "AAMC",
@@ -188,14 +188,14 @@
   },
   {
     "T": "AAME",
-    "v": 113666,
-    "vw": 4.5891,
+    "v": 113396,
+    "vw": 4.589,
     "o": 4.51,
     "c": 4.51,
     "h": 4.76,
     "l": 4.4,
     "t": 1621368000000,
-    "n": 872
+    "n": 869
   },
   {
     "T": "AAN",
@@ -210,47 +210,47 @@
   },
   {
     "T": "AAOI",
-    "v": 408022,
-    "vw": 7.8687,
+    "v": 405734,
+    "vw": 7.8688,
     "o": 7.79,
     "c": 7.78,
     "h": 8.04,
     "l": 7.73,
     "t": 1621368000000,
-    "n": 4249
+    "n": 4205
   },
   {
     "T": "AAON",
-    "v": 143498,
-    "vw": 67.1557,
+    "v": 142934,
+    "vw": 67.156,
     "o": 68,
     "c": 66.54,
     "h": 69.05,
     "l": 66.39,
     "t": 1621368000000,
-    "n": 2864
+    "n": 2853
   },
   {
     "T": "AAP",
-    "v": 805125,
-    "vw": 200.885,
+    "v": 805041,
+    "vw": 200.8851,
     "o": 204.62,
     "c": 200.04,
     "h": 204.8257,
     "l": 199.99,
     "t": 1621368000000,
-    "n": 14627
+    "n": 14625
   },
   {
     "T": "AAPL",
-    "v": 64420288,
-    "vw": 125.9758,
+    "v": 63342929,
+    "vw": 125.9763,
     "o": 126.56,
     "c": 124.85,
     "h": 126.99,
     "l": 124.78,
     "t": 1621368000000,
-    "n": 504397
+    "n": 493538
   },
   {
     "T": "AAQC",
@@ -309,25 +309,25 @@
   },
   {
     "T": "AAWW",
-    "v": 356082,
-    "vw": 74.3496,
+    "v": 353532,
+    "vw": 74.3501,
     "o": 74.01,
     "c": 74.11,
     "h": 75.36,
     "l": 73.565,
     "t": 1621368000000,
-    "n": 5345
+    "n": 5292
   },
   {
     "T": "AAXJ",
-    "v": 767033,
-    "vw": 92.0992,
+    "v": 764523,
+    "vw": 92.099,
     "o": 91.8335,
     "c": 91.86,
     "h": 92.3985,
     "l": 91.79,
     "t": 1621368000000,
-    "n": 3854
+    "n": 3825
   },
   {
     "T": "AB",
@@ -353,76 +353,76 @@
   },
   {
     "T": "ABBV",
-    "v": 8280365,
+    "v": 8280083,
     "vw": 116.9413,
     "o": 116.11,
     "c": 117.21,
     "h": 117.9,
     "l": 115.32,
     "t": 1621368000000,
-    "n": 83567
+    "n": 83565
   },
   {
     "T": "ABC",
-    "v": 1292676,
+    "v": 1289793,
     "vw": 116.4776,
     "o": 117.41,
     "c": 116.95,
     "h": 118.235,
     "l": 115.28,
     "t": 1621368000000,
-    "n": 20399
+    "n": 20398
   },
   {
     "T": "ABCB",
-    "v": 559993,
-    "vw": 56.6993,
+    "v": 556938,
+    "vw": 56.7002,
     "o": 56.44,
     "c": 56.25,
     "h": 57.37,
     "l": 56.06,
     "t": 1621368000000,
-    "n": 7331
+    "n": 7284
   },
   {
     "T": "ABCL",
-    "v": 661635,
-    "vw": 33.1402,
+    "v": 659579,
+    "vw": 33.141,
     "o": 33.87,
     "c": 32.99,
     "h": 34,
     "l": 32.6,
     "t": 1621368000000,
-    "n": 4679
+    "n": 4661
   },
   {
     "T": "ABCM",
-    "v": 314613,
-    "vw": 20.6021,
+    "v": 313433,
+    "vw": 20.6026,
     "o": 19.93,
     "c": 20.62,
     "h": 21.11,
     "l": 19.82,
     "t": 1621368000000,
-    "n": 3049
+    "n": 3029
   },
   {
     "T": "ABEO",
-    "v": 2020639,
-    "vw": 1.518,
+    "v": 2001367,
+    "vw": 1.5178,
     "o": 1.35,
     "c": 1.56,
     "h": 1.61,
     "l": 1.35,
     "t": 1621368000000,
-    "n": 7017
+    "n": 6908
   },
   {
     "T": "ABEQ",
     "v": 825,
     "vw": 28.3491,
     "o": 28.44,
-    "c": 28.3,
+    "c": 28.3036,
     "h": 28.44,
     "l": 28.3,
     "t": 1621368000000,
@@ -463,14 +463,14 @@
   },
   {
     "T": "ABIO",
-    "v": 174592,
+    "v": 174292,
     "vw": 3.3429,
     "o": 3.28,
     "c": 3.36,
     "h": 3.41,
     "l": 3.25,
     "t": 1621368000000,
-    "n": 828
+    "n": 826
   },
   {
     "T": "ABM",
@@ -485,36 +485,36 @@
   },
   {
     "T": "ABMD",
-    "v": 388147,
-    "vw": 273.8245,
+    "v": 383696,
+    "vw": 273.8208,
     "o": 266.72,
     "c": 272.97,
     "h": 277.47,
     "l": 265.41,
     "t": 1621368000000,
-    "n": 10296
+    "n": 10173
   },
   {
     "T": "ABNB",
-    "v": 18751844,
-    "vw": 135.5864,
+    "v": 18555649,
+    "vw": 135.5876,
     "o": 134,
     "c": 135.02,
     "h": 138.4,
     "l": 131.49,
     "t": 1621368000000,
-    "n": 206218
+    "n": 203595
   },
   {
     "T": "ABR",
-    "v": 2164618,
+    "v": 2164617,
     "vw": 17.9052,
     "o": 17.9,
     "c": 17.77,
     "h": 18.03,
     "l": 17.76,
     "t": 1621368000000,
-    "n": 14090
+    "n": 14089
   },
   {
     "T": "ABRpA",
@@ -551,47 +551,47 @@
   },
   {
     "T": "ABST",
-    "v": 45058,
-    "vw": 14.2529,
+    "v": 44957,
+    "vw": 14.2528,
     "o": 14.08,
     "c": 14.3,
     "h": 14.44,
     "l": 13.99,
     "t": 1621368000000,
-    "n": 820
+    "n": 816
   },
   {
     "T": "ABT",
-    "v": 3464592,
+    "v": 3464415,
     "vw": 117.337,
     "o": 116.72,
     "c": 116.98,
     "h": 118,
     "l": 116.72,
     "t": 1621368000000,
-    "n": 41071
+    "n": 41069
   },
   {
     "T": "ABTX",
-    "v": 20815,
+    "v": 20803,
     "vw": 40.433,
     "o": 40.88,
     "c": 40.24,
     "h": 41.15,
     "l": 40.09,
     "t": 1621368000000,
-    "n": 461
+    "n": 458
   },
   {
     "T": "ABUS",
-    "v": 846385,
-    "vw": 2.807,
+    "v": 832331,
+    "vw": 2.8071,
     "o": 2.74,
     "c": 2.81,
     "h": 2.88,
     "l": 2.715,
     "t": 1621368000000,
-    "n": 4607
+    "n": 4508
   },
   {
     "T": "AC",
@@ -639,25 +639,25 @@
   },
   {
     "T": "ACACW",
-    "v": 110036,
-    "vw": 1.4678,
+    "v": 109736,
+    "vw": 1.4676,
     "o": 1.54,
     "c": 1.35,
     "h": 1.55,
     "l": 1.33,
     "t": 1621368000000,
-    "n": 390
+    "n": 388
   },
   {
     "T": "ACAD",
-    "v": 2227748,
-    "vw": 21.5783,
+    "v": 2202392,
+    "vw": 21.5787,
     "o": 21.26,
     "c": 21.39,
     "h": 21.97,
     "l": 21.2,
     "t": 1621368000000,
-    "n": 21433
+    "n": 21041
   },
   {
     "T": "ACAH",
@@ -694,7 +694,7 @@
   },
   {
     "T": "ACB",
-    "v": 5415329,
+    "v": 5414760,
     "vw": 7.2944,
     "o": 7.1,
     "c": 7.38,
@@ -716,36 +716,36 @@
   },
   {
     "T": "ACBI",
-    "v": 30288,
-    "vw": 27.7056,
+    "v": 30088,
+    "vw": 27.7047,
     "o": 27.89,
     "c": 27.35,
     "h": 28.39,
     "l": 27.34,
     "t": 1621368000000,
-    "n": 1175
+    "n": 1169
   },
   {
     "T": "ACC",
-    "v": 655277,
+    "v": 655189,
     "vw": 46.7517,
     "o": 46.62,
     "c": 46.7,
     "h": 46.94,
     "l": 46.31,
     "t": 1621368000000,
-    "n": 6819
+    "n": 6817
   },
   {
     "T": "ACCD",
-    "v": 509029,
-    "vw": 44.2328,
+    "v": 506020,
+    "vw": 44.2321,
     "o": 42.24,
     "c": 44.01,
     "h": 45.82,
     "l": 41.64,
     "t": 1621368000000,
-    "n": 8221
+    "n": 8153
   },
   {
     "T": "ACCO",
@@ -771,14 +771,14 @@
   },
   {
     "T": "ACER",
-    "v": 144728,
-    "vw": 2.783,
+    "v": 144222,
+    "vw": 2.7829,
     "o": 2.73,
     "c": 2.72,
     "h": 2.86,
     "l": 2.68,
     "t": 1621368000000,
-    "n": 675
+    "n": 670
   },
   {
     "T": "ACES",
@@ -793,25 +793,25 @@
   },
   {
     "T": "ACET",
-    "v": 81227,
-    "vw": 13.9048,
+    "v": 80792,
+    "vw": 13.9041,
     "o": 13.43,
     "c": 13.62,
     "h": 14.3199,
     "l": 13.3,
     "t": 1621368000000,
-    "n": 1476
+    "n": 1459
   },
   {
     "T": "ACEV",
-    "v": 182887,
-    "vw": 9.9668,
+    "v": 180862,
+    "vw": 9.9666,
     "o": 9.99,
     "c": 9.96,
     "h": 10.01,
     "l": 9.95,
     "t": 1621368000000,
-    "n": 1359
+    "n": 1333
   },
   {
     "T": "ACEVU",
@@ -837,14 +837,14 @@
   },
   {
     "T": "ACGL",
-    "v": 1516465,
-    "vw": 40.3071,
+    "v": 1497855,
+    "vw": 40.3072,
     "o": 40.38,
     "c": 40.17,
     "h": 40.54,
     "l": 39.92,
     "t": 1621368000000,
-    "n": 15786
+    "n": 15525
   },
   {
     "T": "ACGLO",
@@ -881,14 +881,14 @@
   },
   {
     "T": "ACHC",
-    "v": 515697,
-    "vw": 62.2011,
+    "v": 512021,
+    "vw": 62.1989,
     "o": 63.35,
     "c": 61.6,
     "h": 64.135,
     "l": 61.58,
     "t": 1621368000000,
-    "n": 6960
+    "n": 6886
   },
   {
     "T": "ACHL",
@@ -903,36 +903,36 @@
   },
   {
     "T": "ACHV",
-    "v": 40877,
-    "vw": 9.9803,
+    "v": 40777,
+    "vw": 9.98,
     "o": 9.49,
     "c": 10.02,
     "h": 10.4,
     "l": 9.48,
     "t": 1621368000000,
-    "n": 551
+    "n": 549
   },
   {
     "T": "ACI",
-    "v": 1127752,
+    "v": 1127701,
     "vw": 19.3563,
     "o": 19.62,
     "c": 19.38,
     "h": 19.75,
     "l": 19.14,
     "t": 1621368000000,
-    "n": 15119
+    "n": 15118
   },
   {
     "T": "ACIC",
-    "v": 750582,
+    "v": 737482,
     "vw": 9.8919,
     "o": 9.87,
     "c": 9.89,
     "h": 9.91,
     "l": 9.87,
     "t": 1621368000000,
-    "n": 2303
+    "n": 2302
   },
   {
     "T": "ACIC.WS",
@@ -991,25 +991,25 @@
   },
   {
     "T": "ACIU",
-    "v": 151448,
-    "vw": 6.4482,
+    "v": 149616,
+    "vw": 6.4483,
     "o": 6.72,
     "c": 6.37,
     "h": 6.72,
     "l": 6.33,
     "t": 1621368000000,
-    "n": 1643
+    "n": 1622
   },
   {
     "T": "ACIW",
-    "v": 553611,
-    "vw": 39.5786,
+    "v": 545839,
+    "vw": 39.5794,
     "o": 39.93,
     "c": 39.18,
     "h": 40.02,
     "l": 39.16,
     "t": 1621368000000,
-    "n": 8808
+    "n": 8698
   },
   {
     "T": "ACKIU",
@@ -1024,25 +1024,25 @@
   },
   {
     "T": "ACKIW",
-    "v": 18174,
-    "vw": 0.5186,
+    "v": 15474,
+    "vw": 0.5184,
     "o": 0.501101,
     "c": 0.52,
     "h": 0.52,
     "l": 0.501101,
     "t": 1621368000000,
-    "n": 41
+    "n": 39
   },
   {
     "T": "ACLS",
-    "v": 137107,
-    "vw": 38.3152,
+    "v": 136443,
+    "vw": 38.3144,
     "o": 38.54,
     "c": 37.73,
     "h": 39.18,
     "l": 37.73,
     "t": 1621368000000,
-    "n": 2957
+    "n": 2941
   },
   {
     "T": "ACM",
@@ -1057,14 +1057,14 @@
   },
   {
     "T": "ACMR",
-    "v": 234192,
-    "vw": 65.2688,
+    "v": 230402,
+    "vw": 65.264,
     "o": 64.5,
     "c": 64.56,
     "h": 67.09,
     "l": 63.56,
     "t": 1621368000000,
-    "n": 4122
+    "n": 4072
   },
   {
     "T": "ACN",
@@ -1112,14 +1112,14 @@
   },
   {
     "T": "ACOR",
-    "v": 136869,
-    "vw": 4.4383,
+    "v": 135002,
+    "vw": 4.4382,
     "o": 4.39,
     "c": 4.33,
     "h": 4.6,
     "l": 4.3,
     "t": 1621368000000,
-    "n": 1176
+    "n": 1160
   },
   {
     "T": "ACP",
@@ -1200,25 +1200,25 @@
   },
   {
     "T": "ACRS",
-    "v": 512642,
-    "vw": 22.0147,
+    "v": 506517,
+    "vw": 22.015,
     "o": 21.65,
     "c": 21.73,
     "h": 22.38,
     "l": 21.6,
     "t": 1621368000000,
-    "n": 6520
+    "n": 6426
   },
   {
     "T": "ACRX",
-    "v": 6585504,
-    "vw": 1.336,
+    "v": 6464592,
+    "vw": 1.3358,
     "o": 1.2,
     "c": 1.29,
     "h": 1.6193,
     "l": 1.18,
     "t": 1621368000000,
-    "n": 15135
+    "n": 14849
   },
   {
     "T": "ACRpC",
@@ -1255,47 +1255,47 @@
   },
   {
     "T": "ACST",
-    "v": 10469110,
+    "v": 10432876,
     "vw": 0.4525,
     "o": 0.4339,
     "c": 0.4549,
     "h": 0.465,
     "l": 0.432,
     "t": 1621368000000,
-    "n": 11550
+    "n": 11488
   },
   {
     "T": "ACTC",
-    "v": 780296,
-    "vw": 15.8133,
+    "v": 770249,
+    "vw": 15.8117,
     "o": 15.05,
     "c": 16.2,
     "h": 16.3,
     "l": 15.01,
     "t": 1621368000000,
-    "n": 10247
+    "n": 10167
   },
   {
     "T": "ACTCU",
-    "v": 3554,
-    "vw": 18.2078,
+    "v": 3259,
+    "vw": 18.2303,
     "o": 17.96,
     "c": 18.98,
     "h": 19.2211,
     "l": 17.25,
     "t": 1621368000000,
-    "n": 49
+    "n": 47
   },
   {
     "T": "ACTCW",
-    "v": 234338,
-    "vw": 4.3664,
+    "v": 233300,
+    "vw": 4.3665,
     "o": 3.96,
     "c": 4.3,
     "h": 4.6,
     "l": 3.96,
     "t": 1621368000000,
-    "n": 1984
+    "n": 1978
   },
   {
     "T": "ACTDU",
@@ -1310,14 +1310,14 @@
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+    "n": 913
   },
   {
     "T": "AGM",
@@ -2927,14 +2927,14 @@
   },
   {
     "T": "AGNC",
-    "v": 7740482,
-    "vw": 18.3944,
+    "v": 7538369,
+    "vw": 18.3941,
     "o": 18.23,
     "c": 18.37,
     "h": 18.4899,
     "l": 18.205,
     "t": 1621368000000,
-    "n": 30171
+    "n": 29409
   },
   {
     "T": "AGNCM",
@@ -2960,14 +2960,14 @@
   },
   {
     "T": "AGNCO",
-    "v": 46457,
+    "v": 46449,
     "vw": 25.3509,
     "o": 25.32,
     "c": 25.39,
     "h": 25.44,
     "l": 25.28,
     "t": 1621368000000,
-    "n": 507
+    "n": 505
   },
   {
     "T": "AGNCP",
@@ -2985,7 +2985,7 @@
     "v": 3049,
     "vw": 28.8359,
     "o": 28.7,
-    "c": 28.775,
+    "c": 28.7626,
     "h": 28.9499,
     "l": 28.7,
     "t": 1621368000000,
@@ -3007,7 +3007,7 @@
     "v": 16907,
     "vw": 25.244,
     "o": 24.88,
-    "c": 25.18,
+    "c": 25.0825,
     "h": 25.34,
     "l": 24.88,
     "t": 1621368000000,
@@ -3048,14 +3048,14 @@
   },
   {
     "T": "AGQ",
-    "v": 1283561,
-    "vw": 54.6351,
+    "v": 1284842,
+    "vw": 54.6355,
     "o": 55.34,
     "c": 54.37,
     "h": 55.39,
     "l": 53.6701,
     "t": 1621368000000,
-    "n": 6672
+    "n": 6679
   },
   {
     "T": "AGR",
@@ -3081,14 +3081,14 @@
   },
   {
     "T": "AGRX",
-    "v": 714020,
-    "vw": 1.6085,
+    "v": 706230,
+    "vw": 1.6086,
     "o": 1.56,
     "c": 1.59,
     "h": 1.66,
     "l": 1.53,
     "t": 1621368000000,
-    "n": 3184
+    "n": 3125
   },
   {
     "T": "AGS",
@@ -3106,7 +3106,7 @@
     "v": 1112,
     "vw": 25.8297,
     "o": 25.86,
-    "c": 25.815,
+    "c": 25.8261,
     "h": 25.88,
     "l": 25.79,
     "t": 1621368000000,
@@ -3114,14 +3114,14 @@
   },
   {
     "T": "AGTC",
-    "v": 2658789,
-    "vw": 4.2503,
+    "v": 2601305,
+    "vw": 4.2495,
     "o": 3.96,
     "c": 4.31,
     "h": 4.42,
     "l": 3.87,
     "t": 1621368000000,
-    "n": 16331
+    "n": 15964
   },
   {
     "T": "AGTI",
@@ -3147,14 +3147,14 @@
   },
   {
     "T": "AGYS",
-    "v": 98841,
-    "vw": 47.9414,
+    "v": 98383,
+    "vw": 47.9388,
     "o": 47.96,
     "c": 47.28,
     "h": 49.14,
     "l": 47.25,
     "t": 1621368000000,
-    "n": 2317
+    "n": 2288
   },
   {
     "T": "AGZ",
@@ -3180,14 +3180,14 @@
   },
   {
     "T": "AHAC",
-    "v": 219578,
-    "vw": 9.8661,
+    "v": 216256,
+    "vw": 9.866,
     "o": 9.9,
     "c": 9.87,
     "h": 9.9,
     "l": 9.83,
     "t": 1621368000000,
-    "n": 1908
+    "n": 1859
   },
   {
     "T": "AHACU",
@@ -3202,14 +3202,14 @@
   },
   {
     "T": "AHACW",
-    "v": 87327,
-    "vw": 1.8085,
+    "v": 84507,
+    "vw": 1.8114,
     "o": 2.09,
     "c": 1.56,
     "h": 2.15,
     "l": 1.56,
     "t": 1621368000000,
-    "n": 505
+    "n": 499
   },
   {
     "T": "AHC",
@@ -3224,14 +3224,14 @@
   },
   {
     "T": "AHCO",
-    "v": 2073106,
-    "vw": 23.6344,
+    "v": 2061910,
+    "vw": 23.6343,
     "o": 24.855,
     "c": 23.48,
     "h": 24.855,
     "l": 23.29,
     "t": 1621368000000,
-    "n": 13625
+    "n": 13459
   },
   {
     "T": "AHH",
@@ -3290,25 +3290,25 @@
   },
   {
     "T": "AHPI",
-    "v": 121862,
-    "vw": 3.9948,
+    "v": 120997,
+    "vw": 3.9951,
     "o": 3.94,
     "c": 3.94,
     "h": 4.07,
     "l": 3.909,
     "t": 1621368000000,
-    "n": 804
+    "n": 795
   },
   {
     "T": "AHT",
-    "v": 27390343,
+    "v": 27390388,
     "vw": 3.2347,
     "o": 3.25,
     "c": 3.2,
     "h": 3.4,
     "l": 3.12,
     "t": 1621368000000,
-    "n": 46929
+    "n": 46928
   },
   {
     "T": "AHTpD",
@@ -3378,14 +3378,14 @@
   },
   {
     "T": "AIA",
-    "v": 100794,
-    "vw": 89.3671,
+    "v": 100294,
+    "vw": 89.3666,
     "o": 89.14,
     "c": 89.29,
     "h": 89.685,
     "l": 89.03,
     "t": 1621368000000,
-    "n": 802
+    "n": 799
   },
   {
     "T": "AIC",
@@ -3444,25 +3444,25 @@
   },
   {
     "T": "AIH",
-    "v": 996064,
-    "vw": 8.3787,
+    "v": 970399,
+    "vw": 8.3877,
     "o": 8.01,
     "c": 8.5,
     "h": 8.99,
     "l": 7.86,
     "t": 1621368000000,
-    "n": 5377
+    "n": 5342
   },
   {
     "T": "AIHS",
-    "v": 3702317,
+    "v": 3688002,
     "vw": 0.7522,
     "o": 0.73,
     "c": 0.766,
     "h": 0.779,
     "l": 0.7251,
     "t": 1621368000000,
-    "n": 6177
+    "n": 6129
   },
   {
     "T": "AIIQ",
@@ -3477,14 +3477,14 @@
   },
   {
     "T": "AIKI",
-    "v": 3315113,
+    "v": 3290950,
     "vw": 1.0352,
     "o": 0.9842,
     "c": 1.06,
     "h": 1.06,
     "l": 0.972,
     "t": 1621368000000,
-    "n": 8323
+    "n": 8258
   },
   {
     "T": "AIM",
@@ -3499,14 +3499,14 @@
   },
   {
     "T": "AIMC",
-    "v": 401526,
-    "vw": 65.2369,
+    "v": 400216,
+    "vw": 65.2354,
     "o": 66.93,
     "c": 64.72,
     "h": 66.93,
     "l": 64.65,
     "t": 1621368000000,
-    "n": 4112
+    "n": 4082
   },
   {
     "T": "AIN",
@@ -3532,14 +3532,14 @@
   },
   {
     "T": "AINV",
-    "v": 205512,
+    "v": 204187,
     "vw": 14.5833,
     "o": 14.67,
     "c": 14.51,
     "h": 14.69,
     "l": 14.5,
     "t": 1621368000000,
-    "n": 1304
+    "n": 1287
   },
   {
     "T": "AIO",
@@ -3587,14 +3587,14 @@
   },
   {
     "T": "AIRG",
-    "v": 53037,
+    "v": 52888,
     "vw": 19.4772,
     "o": 19.06,
     "c": 19.32,
     "h": 19.6799,
     "l": 19.06,
     "t": 1621368000000,
-    "n": 883
+    "n": 876
   },
   {
     "T": "AIRI",
@@ -3642,14 +3642,14 @@
   },
   {
     "T": "AIRTW",
-    "v": 13846,
-    "vw": 0.1023,
+    "v": 13246,
+    "vw": 0.1022,
     "o": 0.1,
     "c": 0.106,
     "h": 0.11,
     "l": 0.1,
     "t": 1621368000000,
-    "n": 25
+    "n": 23
   },
   {
     "T": "AIT",
@@ -3675,14 +3675,14 @@
   },
   {
     "T": "AIZ",
-    "v": 294270,
+    "v": 294260,
     "vw": 159.2236,
     "o": 160.16,
     "c": 158.73,
     "h": 161.25,
     "l": 158.465,
     "t": 1621368000000,
-    "n": 7499
+    "n": 7498
   },
   {
     "T": "AIZN",
@@ -3697,14 +3697,14 @@
   },
   {
     "T": "AJAX",
-    "v": 468791,
+    "v": 468691,
     "vw": 9.9089,
     "o": 9.92,
     "c": 9.92,
     "h": 9.96,
     "l": 9.89,
     "t": 1621368000000,
-    "n": 2737
+    "n": 2736
   },
   {
     "T": "AJAX.U",
@@ -3774,25 +3774,25 @@
   },
   {
     "T": "AKAM",
-    "v": 1138626,
-    "vw": 113.252,
+    "v": 1131799,
+    "vw": 113.2524,
     "o": 112.66,
     "c": 112.74,
     "h": 114.06,
     "l": 112.66,
     "t": 1621368000000,
-    "n": 16718
+    "n": 16555
   },
   {
     "T": "AKBA",
-    "v": 2784473,
+    "v": 2706811,
     "vw": 3.5121,
     "o": 3.41,
     "c": 3.5,
     "h": 3.59,
     "l": 3.37,
     "t": 1621368000000,
-    "n": 10313
+    "n": 10039
jrbell19 commented 3 years ago

We recalculate the daily aggregates at the end of each trading session (after 8 PM) to ensure that all of the late, corrected, or canceled trades that we receive are accurately depicted in the daily bars.

It's not abnormal for the data to change after the end of the trading period. Apologies for the confusion.

mattsta commented 3 years ago

Good to know, but the question is: when is the data finalized?

jrbell19 commented 3 years ago

Apologies for the delay on this. The daily bars are finalized every night at 11PM ET, but to be safe you should wait 10-15 minutes to ensure the whole process has completed