Polygon real-time aggregate channel request

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#1

Polygon provides different channels for real-time feeds, one of which is AM.* (per minute aggregate). It would save considerable resources if it was possible to subscribe to that channel, rather than all trades, and have real-time population of an aggregate database, rather than a tick database.

One reason to use polygon over ibkr is polygon does not restrict the number of symbols to which one can subscribe. So a typical use case is to subscribe to thousands of symbols which makes the relative resource requirements of consuming a tick channel vs an aggregate channel that much greater.

#2

I think that's a great suggestion that would remove a current limitation.

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#3

I'm also super interested in this. This is actually how I'm currently handling live trading on a few strategies I have running locally. These strategies involve monitoring 5min bars for 1,000-2,000 stocks for specific price action throughout the data, and once an entry signal is generated, I then subscribe to 1min bars for invested securities.

Also, given that in Zipline the tick data isn't even really available, this solution feels extremely elegant to simply get the pre-built bars.

#4

Polygon real-time aggregates are supported in version 2.4.0: