Sci-fi movie with long-legged alien?

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I realize this is REALLY vague but I'm trying to remember a movie I watched a long time ago. Here's the bits I remember,
- Alien with weird legs that could run fast (legs had similar structure to grasshopper/kangaroo)
- New Mexico?
- Day of the dead festival?
- Probably made in late 90's or early 2000's

Thanks so much!
I think it's "The Arrival" Thank you!
 
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