1Day bars contains price that doesn't exist in 1Min bars for the same time period (crypto)

[Maxim Zemskov]

Describe the bug
1Day OHLCV bars have prices which aren't exists in 1Min bars for the same start/end period

To Reproduce
Make 2 requests with the same parameters, but with different timeframes

1Day timeframe

https://data.alpaca.markets/v1beta1/crypto/bars?symbols=BTCUSD&start=2022-03-08T00:00:00.00Z&end=2022-03-09T00:00:00.00Z&timeframe=1Day&limit=10000

{
  "t": "2022-03-08T06:00:00Z",
  "x": "CBSE",
  "o": 38350.85,
  "h": 41899.98,
  "l": 38000,
  "c": 41524.73,
  "v": 24992.67843144,
  "n": 658515,
  "vw": 39326.1136942713
}

High price for 2022-03-08 is 41899.98.

1Min

https://data.alpaca.markets/v1beta1/crypto/bars?symbols=BTCUSD&start=2022-03-08T00:00:00.00Z&end=2022-03-09T00:00:00.00Z&timeframe=1Min&limit=10000
As we can see in the search box we have zero h prices that started with 4, so all prices are lower than 40000

Is it possible that 1Day bars may return prices outside start/end periods?

[kalmant]

Hi Maxim,

The explanation is the following:

• The daily bars contain data for 24 hours, starting at the timestamp ("t"). So this means that it spans across calendar days (well, depending on the query's timezone).
• The start and end parameters restrict the timestamp("t")'s range.
• So if you query with a timezone not identical to the daily bar's then you might see this.

You can see that the following query will contain the high price found in the daily bar:
https://data.alpaca.markets/v1beta1/crypto/bars?symbols=BTCUSD&start=2022-03-08T00:00:00.00-06:00&end=2022-03-08T23:59:59.00-06:00&timeframe=1Min&limit=10000 (note the changed timezone on start and end).

Please let me know if I was in any way unclear or if you're satisfied then let me know and I'll be happy to close the issue.

[Maxim Zemskov]

Hi. Thank you for the explanation!
Should the daily bars timestamps always have the same timezones for the start of a day or can the timezone be random?
I noticed that it's not always the same.

For example:
https://data.alpaca.markets/v1beta1/crypto/bars?symbols=BTCUSD&start=2022-03-01T00:00:00.00Z&end=2022-03-02T00:00:00.00Z&timeframe=1Day&limit=10000

timestamp is 2022-03-01T06:00:00Z

https://data.alpaca.markets/v1beta1/crypto/bars?symbols=BTCUSD&start=2022-04-01T00:00:00.00Z&end=2022-04-02T00:00:00.00Z&timeframe=1Day&limit=10000

timestamp is 2022-04-01T05:00:00Z

[kalmant]

For crypto bars, the timezone is always Central.

The explanation for the change in offset is daylight savings.
Check the following two links to see what happened:

• 2022-03-01
• 2022-04-01

Even though both point to midnight in Central, the offset from UTC (Z) is different.

[Maxim Zemskov]

Thank you!

[kalmant]

You're welcome :)