I've downloaded intraday price histories from alphavantage for a dozen or so symbols, with the same parameters (1 minute interval) for each. Presumably this data represents prices in one minute intervals over a constant intraday window (9:30AM - 4:00PM ET). Why then do the number of quotes returned in the API responses vary for each symbol, from a low ~3000 to a high of ~10000?

  • $\begingroup$ what does the "sample count" mean? $\endgroup$ – will Mar 21 at 20:41
  • $\begingroup$ @will edited for clarity. If these responses represent the same time window and sample interval then the number of prices in the responses should be identical. $\endgroup$ – user2647513 Mar 21 at 21:21
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    $\begingroup$ Of 8000 stocks traded on US exchanges, 40% of all trading is concentrated in just 100 tickers. And conversely, the tail of low liquidity tickets is quite long. If your list includes small cap symbols or ADRs it's quite possible that there were no trades during particular 1-minute periods. The least active letters are Y and Q. $\endgroup$ – Sergei Rodionov Mar 21 at 21:43

I hadn't noticed when asking, but the response dataframe has a 'date' index, and the timestamps are indeed not evenly spaced!


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