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Confusions about the timestamp
Describe the bug The timestamp returned from polygon does not make sense to me. After converting to normal datetime object, it spans from 0am to 8am and then 17pm to 23pm. However, the core trading time of NASDAQ should be 1430pm to 21pm in UTC. And the volume values are quite large in intertrading time.
To Reproduce Use this python script to reproduce:
import datetime
import pandas as pd
from polygon import RESTClient
client = RESTClient(api_key=# KEY)
aggs = client.get_aggs("AAPL", 1, "hour", from_="2023-05-01", to="2023-06-01", limit=50000)
data = []
for agg in aggs:
data.append(
{
"datetime": datetime.datetime.fromtimestamp(agg.timestamp / 1000),
"close": agg.close,
"volumne": agg.volume,
}
)
df = pd.DataFrame(data)
df = df.set_index("datetime")
df = df.sort_index()
print(df.iloc[0:60])
Expected behavior Data should be within the core trading time, i.e., 1430 to 2100
Screenshots
An example:
Additional context N.A.