I wanted to post some updates about Polygon since this thread was started. We have fixed the issue of a symbol having out of sequence ticks. This was due to our distributed & concurrent systems internally. We have also launched a new WebSockets API for a more standardized protocol and easier implementation. This has reduced latency in the 99% up to 3x. This was created from scratch for the purpose of streaming polygon data. It handles each connections queue independently, not allowing a single connection to impact any other connection where NATS had fundamental issues scaling. For the "cleaner" data part, we have updated our aggregate data streams to not include the "odd-lot" trades which was causing the high/lows to sometimes be outside of the normal rage. Odd-Lot trades can be vastly outside the normal trading range and always have the odd-lot condition in the trade data. We have also upgrade our data feed providers a couple months ago and have had 100% uptime since the change. @arbitech I hope you have noticed improvements in the service since post date. @cruisecontrol We offer 7day free trial if you're interested in testing the service. Thanks,
Hello Quinton. Thank you for joining ET to answer our questions! I don't see any info on the web site regarding WebSockets. Would it be possible for you to set up a test environment so that developers can try to access some subset of data (even if delayed/canned) outside of the 7day free trial limit?
@qlai The websocket service is new, the site should be update with links to it soon. https://polygon.io/sockets As for the developer access, we are extremely busy with development our core systems. When we have time we will try to add a mocked API environment. Until then the 7day free trial is the only option. You can take a look at the API docs if you're interested in seeing the API response schemas. Thanks,
-What's your source for earnings data? -Are any split and dividend adjustments done to the historical data? -Do you offer historical OHLC for bid and ask?
- We have a provider for data currently, but are working on a SEC edgar parser to obtain the data directly. - Yes, historic aggregate data is adjusted for splits. Tick data is not adjusted. - We do not offer OHLC for quote data.
Thanks for the replies. Currently with IQFeed and trying to compare offerings. So, earnings data is backward looking only without an upcoming date. Is that right? Also, is historic data also adjusted for dividends or splits only?
Correct, earnings data is only historic, no future dates for upcoming earnings. Historic data is only adjusted for splits currently ( same as yahoo finance ). We are working on a change to be able to query unadjusted, split, or split & dividend adjusted. I just want to make it known we are a startup and are innovating quite quickly. If there are requests or ideas to make the service better, we take them very seriously. We are all developers and want to make it easy for other developers to use our platform.
@Polygon.io I am planning to take a look at polygon. Are there any examples using python. All I am trying to do is pull last 2 weeks of historical data as a start. If you can point me to any documentation plus examples would be very helpful.
We have streaming example python code: https://github.com/Polygon-io/client-examples/blob/master/websockets/python/polygon.py The REST API docs ( for historic data ): https://polygon.io/docs/#!/Stocks--Equities/get_v1_historic_trades_symbol_date