Some stratergies require a candle OHLC to calculate indicators. For example RSI is based on Candle close by default. So when strategies depending on indicators are executed in real time, candle data is required. I checked in older threads and the solution was to "calculate OHLC in the client side based on websocket data". This is entirely possible but I'm afraid it's not going to be accurate.
From my understanding, the websocket data received by the client is only a small part of the total orders executed in the exchange. So there is a very high possibility that the OHLC calculated is not going to be accurate. I guess other Algo traders would have come across this ? Any solutions ?
I guess the best option is to get the historical data from the Kite API. So how much of a delay can we expect from the Kite API to calculate the OHLC candle and be available so we can query it ? (possible option is to query every second until data is available for previous minute)