Fetch Backfill Data Properly
When running live we:
- Get historic data (through the rest api)
- Get live data (through the websocket)
This release fixes issues with fetching of the historic data:
- Date range is too large
- Polygon api doesn't indicate a limit for 1 api call but you can't get six months of data in 1 api call (makes since).
Data is returned corrupted (patchy data) - Alpaca has a limit of 1000 records per api call
- Polygon api doesn't indicate a limit for 1 api call but you can't get six months of data in 1 api call (makes since).
- Compression - or not 1 minute/daily bars (e.g 5 minute, 30 minute, 60 minute bars)
- Polygon supports it. alpaca doesn't
- Out of market data
- Both apis return out of market hours data. that is of course not what we want when we do these calls