datapolygon

This is a market data module for ingesting instrument and price data from polygon.io.

You must already have a subscription with Polygon to use this module, and provide your API key as configuration to it.

Configuration

• apikey - Your account API key

This module also supports all the standard configuration options for data modules.

Notes

Candle latency

Candle data from Polygon is delayed by approx 2.5 seconds, to allow time for upstream trades to be received by Polygon and included in the aggregates/candles.

More information is available in Polygon's documentation here: https://polygon.io/blog/aggregate-bar-delays

The AWTS Datapolygon module handles this automatically when fetching or streaming candles, so your apps/strategies need no special logic to cope with this.

The latency is also handled automatically when using Runner to backtest and execute strategies; i.e. when simulating fills in backtests, the time offset is accounted for appropriately.

See also Streaming, latency and mutable data for more information generally on real-time streaming and data accuracy.

Timestamps on daily candles

Polygon.io return daily candles timestamped as midnight New York time - this differs from other providers where daily candles are timestamped to UTC midnight.

Simulating fills

Polygon is not a broker, and provides market data only. As such, the SimFill() API call will error. Please backtest against the relevant module for your broker instead.