No quotes on 2022-01-31

Similar to #109

API_KEY = ""
header = {"Authorization": f"Bearer {API_KEY}"}
ts_start = 1643605200000000000
ts_end = 1643691600000000000
url = f"https://api.polygon.io/vX/quotes/TSLA?timestamp.gt={ts_start}&timestamp.lt={ts_end}&limit=50000&order=asc"
json = requests.get(url, headers=header).json()
assert not hasattr(json, 'next_url')
ticks = json['results']

print(pd.Timestamp(ts_start))
print(pd.Timestamp(ts_end))
print(len(ticks))
print(pd.Timestamp(ticks[0]['sip_timestamp']))
print(pd.Timestamp(ticks[-1]['sip_timestamp']))

--> 2022-01-31 05:00:00
--> 2022-02-01 05:00:00
--> 315
--> 2022-02-01 00:00:20.533433409
--> 2022-02-01 00:59:43.688896890

I've tested it on a couple of stocks, all have shown to only return a couple of ticks at the end of the day. Querying on date-string instead of Unix timestamp does not remedy the issue. Trades are returned as expected on 2022-01-31.

polygon-io / issues

No quotes on 2022-01-31 #192