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Humble, do you have any sense whether these algos would do well for trading illiquid stocks but not at such a large percentage as your 10k on 100k ADV example, more like 0.5% of ADV? I sometimes trade stocks with market caps in the 100-400M range that might trade only trade a few million...

I think IQFeed has some of that data too for a lot cheaper than Algoseek, but unfortunately their historical NBBO data is only reported when a trade occurs and only goes back 6 months. I say "I think" bc it's the best I can glean with their API documentation annoyingly behind a $444 developer...

Data provider is Polygon. I feel bad because they seem like small startup that's trying hard and are generally pretty responsive, but their greenness shows. Maybe their trying to roll out new features too fast, but their code clearly lacks tests.

Hmmm, thanks for some perspective. Their data may not be split adjusted, but at least that's their intention. With my current data provider they let you set the parameter for split adjustment and then don't do it. Thinking I'm going to switch to IQFeed

So I know IQFeed has a reputation for being reliable, but after being disappointed with another comparable US equities data provider that seems to be generally viewed positively here, I'm beginning to suspect the concept of reliable may be very relative and would like to get more specific about...