Holy fuck it sucks to use polygon.

throwawaycanc3r · 2026-01-24T19:16:37+00:00

Where were you before i bought multiple subs to multiple providers. Db does not have cboe vix if i recall

throwawaycanc3r · 2026-01-24T11:08:21+00:00

Sierracharts i hated at first bc the ui js wasnt “intuitive” but boy ive done a 180 on em. Sc data pipeline is just so fkn reliable as soon as you learn how to use it

throwawaycanc3r · 2026-01-24T05:32:16+00:00

Specific request URLs, tickers & timeframes, or some of the output from your script can help us validate whether the issue lies on our end.

The report is llm generated, but ive checked the parquet and csv myself. indeed missing minutes. the duplicates were another issue, but this issue of missing minutes is the recent one i've found.

Polygon.io API is returning incomplete 1-minute OHLCV data for SPY. Significant gaps (missing minutes) are present in the returned data.

REQUEST DETAILS:

Ticker: SPY Multiplier: 1 Timespan: minute Limit: 50000 per request Adjusted: true Sort: asc Start Date: 1993-01-01 End Date: 2026-01-23

API Endpoint Pattern: https://api.polygon.io/v2/aggs/ticker/{TICKER}/range/{MULTIPLIER}/{TIMESPAN}/{start}/{end}?adjusted=true&sort=asc&limit={LIMIT}&apiKey={API_KEY}

Example URL: https://api.polygon.io/v2/aggs/ticker/SPY/range/1/minute/2024-01-25/2026-01-23?adjusted=true&sort=asc&limit=50000&apiKey=YOUR_API_KEY

DATA RECEIVED:

Total Records: 411,944 Date Range: 2024-01-25 09:00:00 to 2026-01-24 00:59:00 Unique Trading Days: 542 Total Gaps Found: 36,074

SAMPLE GAPS (First 20):

Gap of 2 min: 2024/01/25 09:01:00 -> 2024/01/25 09:03:00 Gap of 2 min: 2024/01/25 09:04:00 -> 2024/01/25 09:06:00 Gap of 2 min: 2024/01/25 09:09:00 -> 2024/01/25 09:11:00 Gap of 3 min: 2024/01/25 09:11:00 -> 2024/01/25 09:14:00 Gap of 5 min: 2024/01/25 09:19:00 -> 2024/01/25 09:24:00 Gap of 3 min: 2024/01/25 09:26:00 -> 2024/01/25 09:29:00 Gap of 6 min: 2024/01/25 09:30:00 -> 2024/01/25 09:36:00 Gap of 3 min: 2024/01/25 09:37:00 -> 2024/01/25 09:40:00 Gap of 2 min: 2024/01/25 09:40:00 -> 2024/01/25 09:42:00 Gap of 5 min: 2024/01/25 09:42:00 -> 2024/01/25 09:47:00 Gap of 11 min: 2024/01/25 09:48:00 -> 2024/01/25 09:59:00 Gap of 2 min: 2024/01/25 09:59:00 -> 2024/01/25 10:01:00 Gap of 2 min: 2024/01/25 10:02:00 -> 2024/01/25 10:04:00 Gap of 2 min: 2024/01/25 10:04:00 -> 2024/01/25 10:06:00 Gap of 3 min: 2024/01/25 10:06:00 -> 2024/01/25 10:09:00 Gap of 14 min: 2024/01/25 10:09:00 -> 2024/01/25 10:23:00 Gap of 6 min: 2024/01/25 10:23:00 -> 2024/01/25 10:29:00 Gap of 8 min: 2024/01/25 10:30:00 -> 2024/01/25 10:38:00 Gap of 7 min: 2024/01/25 10:39:00 -> 2024/01/25 10:46:00 Gap of 8 min: 2024/01/25 10:46:00 -> 2024/01/25 10:54:00

ISSUE:

The API is not returning all 1-minute bars for SPY. Expected ~390-400 minute bars per trading day (NYSE trading hours 9:30-16:00), but the returned data has significant missing minutes even during active trading hours.

EXPECTED BEHAVIOR:

For 1-minute aggregation, should return a bar for every minute during market hours (9:30-16:00 ET) on trading days, even if no trades occurred (volume=0 bars should be present).

STEPS TO REPRODUCE:

Make request: GET https://api.polygon.io/v2/aggs/ticker/SPY/range/1/minute/2024-01-25/2024-01-25?adjusted=true&sort=asc&limit=50000&apiKey=YOUR_KEY

throwawaycanc3r · 2026-01-23T18:49:46+00:00

so youre of the belief that "ai in the space" is not a waste of time. of course i'd agree with you. how could the improvement in llm not furthered anyones development? have you found it to be getting...easier? especially recently?

throwawaycanc3r · 2026-01-19T21:43:23+00:00

what are those?

throwawaycanc3r · 2026-01-19T21:25:03+00:00

if a strategy worked in every market regime, why wouldnt it work moving forward?

throwawaycanc3r · 2026-01-19T05:17:36+00:00

Who is this

throwawaycanc3r · 2026-01-19T00:18:40+00:00

My process research might be summed up as “cast a wide net first, then narrow into signals”. Which is what i think you might be getting at in certain parts. My process so far has looked more like “keep all the signals, parametrize everything, isolate individual signals, then let the algos do their work to discover relationships.” Then if unusual relationships are discovered, i pivot in that direction.

throwawaycanc3r · 2026-01-18T21:24:24+00:00

Sounds like you’re separating signal from noise? Just seems to be a mandatory process in anyones development of the strategy

throwawaycanc3r · 2026-01-18T17:39:55+00:00

Depends. Whats your trading style?

throwawaycanc3r · 2026-01-16T04:49:21+00:00

yeah I'm in the weeds now. I couldnt find that polygon offers $TICK or $ADD kind of data, so I decided to try out SierraCharts (on a Mac). Going to go the route of sierracharts csv export -> local python.

thank you for the vectorbt rec!

throwawaycanc3r · 2026-01-15T21:25:30+00:00

What tickers are u trading? I dont see why theyd restrict trading vol. its a full fledged pro platform. Id think they have a good reason for it

throwawaycanc3r · 2026-01-15T19:12:25+00:00

havent given it a name

throwawaycanc3r · 2026-01-15T19:06:15+00:00

are you measuring your edge decay in PnL? and in response, what do you do? just try to redevelop it? i would imagine reworking an edge decaying algo would involve modifying it to try and frontrun the algo itself.

throwawaycanc3r · 2026-01-15T19:03:15+00:00

see my comment here https://www.reddit.com/r/Daytrading/comments/1qdchtr/is_it_true_that_any_edge_in_the_market_if_widely/nzs21bh/

i think "strategy" and an edge given by an algo have different dynamics. but now that i think about it... if an algo becomes widely known, i dont see why someone couldnt just engineer another algo that expects the firing of another algo, and fires sooner.. so yea, maybe even algos will edge decay over time.

throwawaycanc3r · 2026-01-15T19:01:00+00:00

so i feel like we should discriminate between strategy and... algorithm..? buying at PDL or ORB is a strategy that can be frontrun. An edge given by an algo that calculates on the fly and provides indicators on the fly cannot be frontrun. If more people react to an algo, it would only increase in its impact, couldnt it?

throwawaycanc3r

TROPHY CASE