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UBS daily low price data error on 2022-08-30 (open 16.12, high 16.14, low 0.9242, close 15.95) #267

Closed NeilJustice closed 1 year ago

NeilJustice commented 1 year ago

URL https://api.polygon.io/v2/aggs/ticker/UBS/range/1/day/2022-08-30/2022-08-30?adjusted=false&apiKey=

Polygon daily data for UBS on 2022-08-30:

Open: 16.12 High: 16.14 Low: 0.9242 (!) Close: 15.95

UBSLow

Although there is no one source of open-high-low-close truth, with TradingView being the most referenced data provider in the world, TradingView's data values for the same symbol and day are presented here for reference:

image

AHangstefer commented 1 year ago

Hi! Thanks for reaching out. I checked the trades for UBS on 2022-08-30 to make sure the 0.9242 price trade exists. This is the query I made:

https://api.polygon.io/v3/trades/UBS?order=desc&timestamp=2022-08-30&limit=50000&apiKey=**

It looks like that value is coming from a dark pool trade which we include in our Aggregates:

conditions: [3] exchange: 4 id: "71697119463245" participant_timestamp: 1661870314597000000 price: 0.9242 sequence_number: 2654517 sip_timestamp: 1661893504974560300 size: 100000 tape: 1 trf_id: 12 trf_timestamp: 1661893504974188000

NeilJustice commented 1 year ago

Very interesting. Good to now know that trades vastly far away in price from previous trades are to be occasionally expected in both the 1-minute and daily data. Thanks for investigating!