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Lot of intraday minute data missing

sameer
sameer edited December 2016 in General
Yesterday I found many of stocks have missing intra day data(out of only ~ 100 stocks).

For example, Aditya Birla Nuvo 20th Jan 2016 has no data from 9:15 to 9:45 and same OHLC for next 15 minutes. I dont think Aditya Birla Nuvo is that illiquid stock

I found this for many stocks(out of only ~ 100 stocks) around 20-25 instances.

Please write simple script that checks if each stock has 375 candles per day and if not correct that data. I don't think atleast A-group stocks should have some minute where no volume traded so for all A-group stocks all 375 minute candles likely to be present
  • Matti
    Matti
    @sameer the scrip you have mentioned, Aditya Birla Nuvo, underwent a corporate action on 20th Jan. On such days, the scrip starts trading at 10 AM. There is a pre-market session until 9:44 where pre-market order collection happens. These orders are used to arrive at an equilibrium price which is broadcasted as a tick at 9:44 or 9:45 by the exchange, then normal ticks start from 10 AM.
    Hope this clears up your doubt.
  • sujith
    sujith
    Hi @sameer,

    Can you give us other example where you think this is happening?
  • sameer
    sameer
    I dont remeber all but on 16th Sept 2016 I found some 5 stocks(after which I give up) ... Also I got err for Mcleod Russell, Crompton Graves, OFSS(don't know date)
  • sameer
    sameer
    Crompton Greaves 24th March 2016
    Aditya Birla Nuvo 20th Jan 2016
    OFSS 14th June 2016
    IRB 16th Sept 2016
    ICICIBANK 16th Sept 2016
    Petronet LNG 16th Sept 2016
    India Cement 16th Sept 2016
    UltraTech Cement 16th Sept 2016
  • sameer
    sameer edited December 2016
    GAIL on 13th March 2015 and many more
  • Matti
    Matti
    @sameer 24th March was Holi, hence a holiday.

    As for the other scrips you've mentioned, I see that the data is available. What params are you passing?
  • sameer
    sameer
    I downloaded range as last 6 months and pecision as 1minute.
    I had donwnloaded and stored that data some time back

    Here my ICICI bank file looks:

    2016-09-16,14:39,2456,2458,2455,2455,77980
    2016-09-16,14:40,2455,2455,2450,2451,141540
    2016-09-16,14:41,2451,2451,2449,2449,46820
    2016-09-19,09:15,2480,2489,2480,2487,96630
    2016-09-19,09:16,2487,2489,2485,2489,186100
    2016-09-19,09:17,2490,2490,2485,2487,78630
    2016-09-19,09:18,2487,2489,2479,2479,42490
    2016-09-19,09:19,2479,2486,2478,2478,118280

    Anyway if data is available on your server then I will try to refresh data on my machine
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