- ago
Hello. Right now I just have the free API version for Alpaca historical data to use for my backtesting with WL. I just wanted to get other users' opinions on Alpaca's historical data. Is it accurate enough to use for backtesting or should I scrap it and use another data provider? I'm using one-minute bars for my backtesting going back 7 years. TY.
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Cone8
 ( 6.30% )
- ago
#1
It's more of a question for Alpaca than us, but no. The free feed is not "accurate" nor is the history sufficient for longer backtests. There's more information about Alpaca data in the User Guide (F1) > Extensions > Alpaca > Data

The free Account at Alpaca is very good for an introductory experience to Auto-Trading with a paper account.
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- ago
#2
Thanks. That what I was afraid of. From now on I'm using historical market data from Tradestation as I have an account with them. They've been around a while(c. 1982) so I trust their data is probably more accurate than Alpaca as I know Alpaca is a recent start-up.
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Cone8
 ( 6.30% )
- ago
#3
We don't have a provider built for Tradestation (do they have a public API?), so although you can export ASCII data for backtesting, it's not going to work for trading.

Still there are many options for data.
- The "paid" Alpaca feed.
- The "Cadillac" option is IQFeed if you need a LOT of history and the best tick-by-tick data.
- But if you're trading just TQQQ/SQQQ, an account with Interactive Brokers is sufficient and the $10 or $15 data fee is waived if you hit $30 of commissions.
- Ameritrade is another free option for limited data, no commission trading, but trades execution is slow (relative to IB)
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- ago
#4
QUOTE:
We don't have a provider built for Tradestation (do they have a public API?)

They do. Here's a feature request for TS providers that topic starter may vote for by giving it a thumbs up:
https://www.wealth-lab.com/Discussion/Tradestation-data-broker-providers-7665
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Cone8
 ( 6.30% )
- ago
#5
As I create a blog article for Integrated WealthLab data providers, it just occurred to me that "yes" free Alpaca data is more than good enough for trading - if you use Streaming Bars.

The Alpaca provider supports "Streaming Bars" for the Strategy Monitor, and since these are built on the server side (well, they're 1-minute bars, so we build the other intervals from them), you get a perfect representation of historical bars.

The free data tier limitation is that it only supports up to 30 simultaneous "channels" (symbol), so you can't auto-trade the Nasdaq 100 with it.

Also, because the 1-minute Streaming Bars are built on the server, there's a small 2 or 3 second delay at the end of interval that you wouldn't have for a streaming chart.
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Cone8
 ( 6.30% )
- ago
#6
After studying this further, Alpaca Streaming Bars > 1-Minute have a problem... investigating. (It could be an issue with Development Build 21 changes.)
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Cone8
 ( 6.30% )
- ago
#7
This will be fixed with Alpaca Build 7 - Alpaca (only) Streaming Bars for all intervals greater than 1 Minute were updated only with the most-recent 1 Minute bar.

Also, Streaming Bars for the "free" feed appear to be built from IEX data. Therefore, you get "real time" data, but it's only a small percentage of the total market volume. Consequently, the bars are not an accurate representation of the whole market.
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