Market Data

Alpaca Data API

Alpaca Data API provides the market data available to the client user through the REST and websocket streaming interfaces. Currently, the supported data set is IEX price data, but we are working on adding more.

Authentication

The authentication is done the same way as Trading API, and make sure you set the following fields in the HTTP header:

• APCA-API-KEY-ID
• APCA-API-SECRET-KEY

Endpoint

Please note the Data API endpoint is different from the Trading API endpoint. Although the Trading API documented herein references v2, the Data API endpoint should still point to v1 as follows:

https://data.alpaca.markets/v1

This URL is the same between paper trading and live trading.

Polygon Integration

All Alpaca customers with live brokerage accounts can access various kinds of market data in Polygon. (This data is not available to users who have not yet set up live accounts.) For the RESTful interface, you need to give the apiKey parameter with the same API key ID you use for Alpaca, as demonstrated below. You will see an authentication error message saying “invalid API key” if your account does not have Polygon access.

$ curl "https://api.polygon.io/v2/aggs/ticker/AAPL/range/1/day/2019-01-01/2019-02-01?apiKey=$APCA_API_KEY_ID"

(Note that your Alpaca API secret key is not required and should not be provided as a parameter in this call.)

Using Polygon, you can query quotes, bars, and fundamentals data from both historical and real-time datasets. To see everything you have access to through their API, you can view Polygon’s documentation.

With the same API key ID, you can subscribe your algorithm to Polygon’s Websocket streaming for market data updates. Put your API key ID as the params value in the auth action at the beginning of the communication as the example below.

$ wscat wss://alpaca.socket.polygon.io/stocks
[{"ev":"status","status":"connected","message":"Connected Successfully"}]
{"action":"auth","params":"$APCA_API_KEY_ID"}
[{"ev":"status","status":"success","message":"authenticated"}]
{"action":"subscribe","params":"T.MSFT"}
[{"ev":"status","status":"success","message":"subscribed to: T.MSFT"}]
[{"ev":"T","sym":"MSFT","p":114.170,"x":"10","s":467,"t":1577413831740, .... }]

The Websocket server address for Alpaca users is as follows.

• wss://alpaca.socket.polygon.io/stocks

For the further description and specification of each REST API endpoint, please find more details here. For Websocket specification, please read Polygon’s socket documentation, as well as refer to the documentation provided by each language SDK.

Which API should I use?

You may wonder which of the two above - IEX or Polygon - to use. First of all, the full volume data provided by Polygon is not immediately available to everyone. You first need to create a live trading account - users without live brokerage accounts must use IEX -
and agree with the exchange agreements.

If what you need is only daily bars, there is not much difference between the IEX and the full volume Polygon data. However, for the intraday real-time bars, the IEX data provides price information coming only from the IEX exchange trades, while the full volume data reflects trades from all exchanges.

Aside from the actual data contents, Alpaca Data API, which uses IEX, provides more flexible query capability such as multi-symbol and precise time range parameters.

Can I get the full volume data from Alpaca Data API?

Currently, no. The plan is to eventually provide everything through Alpaca Data API at some point. This is to achieve the best user experience for all Alpaca users. But don’t worry! We will have enough time for everyone to smoothly migrate from Polygon API to Alpaca API. Through our community Slack and email notifications, we will announce updates to available services in advance of major changes.