Read2026-09-19. Provider original: daily timestamps truncate to NY day; trade eligibility differs across bar types; historical SIP endpoint requires end at least15min old for limited subscription. Initial date-only end request403; explicit2026-09-18T23:59:59Z succeeded200. Cause of first failure not proved beyond response. Data collected through authenticated venue proxy; no independent provider validation. Minute auditIWM.04 difference retained rather than silently replacing daily open.
https://docs.alpaca.markets/us/docs/market-data-faq
Extended-hours order execution may fail or receive inferior prices
Whole-share momentum backstop2026-09-19 04:04
Provider primary V5.2026.04 accessedSep19: reduced liquidity, wider spreads, unlinked markets, partial/non-execution and inferior prices possible; overnight prices may lack protection across venues. FINRA https://www.finra.org/investors/insights/stop-orders-factors-consider-during-volatile-markets independently explains stop price not guaranteed and stop-limit may not execute. These mechanics support execution uncertainty, not a probability estimate; supplied venue uses15min checks and marketable extended-hours limits.
https://files.alpaca.markets/disclosures/library/ExtHrsOvernightRisk.pdf
AccessSep19 2026; provider primary current documentation: conditionT extended-hours updates minute OHLC but not daily OHLC, though daily volume updates. SIP consolidated versus IEX single exchange. Daily open/previousclose is an eligible-trade overnight-gap proxy, not full overnight path, official auction-price guarantee or actual venue15min exit simulation.
https://docs.alpaca.markets/us/docs/market-data-faq
XLE Issuer-confirmed December 2025 split missing in fresh adjusted data = 2
Whole-share momentum backstop2026-09-19 04:04
Issuer original November20 2025, effectiveDec5 2025, accessedSep19 2026: XLK/XLY/XLE/XLU/XLB split2:1. Fresh SIP adjustment=all XLEDec4close90.20/Dec5open45.02 yields false -50.0887%; XLK289.92/145.63, XLU85.62/42.82 similarly unadjusted; XLY118.36/118.47 and XLB43.65/43.75 already normalized. Repair only XLK/XLE/XLU preDec5 OHLC/VW /2, volumes*2. Same XLE defect in adjustment=split. Keep original response and repair provenance; dividend rounding causes small prior-vintage differences.
https://investors.statestreet.com/investor-news-events/press-releases/news-details/2025/State-Street-Investment-Management-Announces-Share-Splits-for-Five-Select-Sector-SPDR-ETFs/default.aspx
Joint gap diagnostic: worst_rows
Core trend fractional2026-09-19 04:04
Measured2026-09-19; Sep2021-Sep2026 adjusted open/prior close-1, static93.33 per EEM/QQQ/IWM. Calendar classification excludes first row and14 two-day holiday gaps. 2026 is descriptive split, NOT unseen validation. {"2024-08-05 00:00:00":{"EEM":-0.052591847005536096,"QQQ":-0.05357022225224606,"IWM":-0.0527219225110348},"2025-04-07 00:00:00":{"EEM":-0.0428716387620498,"QQQ":-0.033153247495061544,"IWM":-0.03795481302909687},"2025-04-03 00:00:00":{"EEM":-0.020872420262664226,"QQQ":-0.04140786749482395,"IWM":-0.04711779448621556},"2022-02-24 00:00:00":{"EEM":-0.05135387488328669,"QQQ":-0.03213604676607573,"IWM":-0.023911609498680764},"2026-03-03 00:00:00":{"EEM":-0.05737169009480214,"QQQ":-0.019335377311838653,"IWM":-0.026561844063656803}}
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
Joint gap diagnostic: gap_correlation
Core trend fractional2026-09-19 04:04
Measured2026-09-19; Sep2021-Sep2026 adjusted open/prior close-1, static93.33 per EEM/QQQ/IWM. Calendar classification excludes first row and14 two-day holiday gaps. 2026 is descriptive split, NOT unseen validation. {"EEM":{"EEM":1,"QQQ":0.7167311037265218,"IWM":0.653394755409599},"QQQ":{"EEM":0.7167311037265218,"QQQ":1,"IWM":0.826847759482475},"IWM":{"EEM":0.653394755409599,"QQQ":0.826847759482475,"IWM":1}}
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
Joint gap diagnostic: bootstrap_mean_weekend_minus_ordinary = -0.14757196697494238
Core trend fractional2026-09-19 04:04
Measured2026-09-19; Sep2021-Sep2026 adjusted open/prior close-1, static93.33 per EEM/QQQ/IWM. Calendar classification excludes first row and14 two-day holiday gaps. 2026 is descriptive split, NOT unseen validation. {"observed":-0.14757196697494238,"ci95":[-0.4868608109458199,0.17940330337077798],"draws":10000,"seed":91904}
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
Joint gap diagnostic: holdout_2026 = 179
Core trend fractional2026-09-19 04:04
Measured2026-09-19; Sep2021-Sep2026 adjusted open/prior close-1, static93.33 per EEM/QQQ/IWM. Calendar classification excludes first row and14 two-day holiday gaps. 2026 is descriptive split, NOT unseen validation. {"n":179,"mean_gap_pct":{"EEM":0.039877466445250975,"QQQ":0.06526883934982833,"IWM":0.05825890508114657},"gap_p01_pct":{"EEM":-3.891538086177093,"QQQ":-1.953494727940778,"IWM":-1.8969350457455785},"worst_gap_pct":{"EEM":-5.737169009480214,"QQQ":-3.009689003320015,"IWM":-2.6561844063656803},"joint_negative_pct":29.05027932960894,"basket_mean_dollars":0.1525060833107816,"basket_p01_dollars":-6.846341053107497,"basket_worst_dollars":-9.638087507522874,"worst_date":"2026-03-03 00:00:00"}
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
Joint gap diagnostic: ordinary = 980
Core trend fractional2026-09-19 04:04
Measured2026-09-19; Sep2021-Sep2026 adjusted open/prior close-1, static93.33 per EEM/QQQ/IWM. Calendar classification excludes first row and14 two-day holiday gaps. 2026 is descriptive split, NOT unseen validation. {"n":980,"mean_gap_pct":{"EEM":0.02857747148680609,"QQQ":0.055029682111706134,"IWM":0.053379657552293604},"gap_p01_pct":{"EEM":-2.544174010692582,"QQQ":-2.05630797293321,"IWM":-2.346237417016359},"worst_gap_pct":{"EEM":-5.737169009480214,"QQQ":-4.140786749482395,"IWM":-4.711779448621556},"joint_negative_pct":28.26530612244898,"basket_mean_dollars":0.12784979084704706,"basket_p01_dollars":-6.025123228684201,"basket_worst_dollars":-10.21012301580487,"worst_date":"2025-04-03 00:00:00"}
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all