Missing ticks in streaming data

smathur
The Ticks relayed by Zerodha using Kite API doesn't receive all ticks. We've seen ticks are missing continuously. See the attached snapshots highlighted values are never relayed to us. We've run the test for couple of few days and saw this behavior is consistent. This is double checked with simple java program to subscribe the ticks with only one instrument. Execution details are as below. Kite java SDK 3.1.14 AWS r5a Large instance. Subscribed instrument Token - Only one instrument - 10081282 Example of Ticks missing - 1) MissingTick1.png -> Tick with LTP 621.4 on 18-May around 11:34 am is not received. However we see this LTP as Open value in Zerodha's candle chart. 2) MissingTick2.png -> Tick with LTP 367.45 on 18-May around 13:09 is not recieved. However it's visible as Lowest price for a minute candle on Zerodha's candle chart. 3) MissingTick3.png -> Tick with LTP 399.45 on 18-May around 13:08 is not received. However it's visible at Highest price for a minute candle on Zerodha's candle chart. Above are randomly picked up values. Any consecutive 5 one minute candles has missing data of ticks compared to Zerodha's chart visible on Kite portal. Attaching relevant files.


  • smathur
    All ticks received on this day are dumped in the attached xlsx files. Missing ticks are highlighted in attached screenshots.
  • SRIJAN
    SRIJAN edited May 25
    Websocket data you get through KiteConnect is the same data used to make candles on kite web/app.

    You might have missed a few ticks due to latency issues.

    You can refer this thread:
    https://tradingqna.com/t/why-does-two-charts-of-the-same-timeframe-look-different-on-the-same-platform/4715
  • smathur
    We are running our application on the cloud. There are consistent differences - in as many as 30% of the candles. I don't believe there should be latency or connectivity issues on Cloud so frequently.
    Can you investigate the attached documents at your end and revert with a more precise answer?
  • rakeshr
    We use the same tick data to form OHLCV candle as you see on the kite charts, so until you are blocking the ticker(which leads to missing ticks) or not storing/dumping tick data properly in file or DB. I don't see any other reason. You can try out this example to check the same.
  • kingbros
    Team

    I am facing the same issue when i am passing 300 instruments in Websocket, while converting data from tick data to 5 mins, among 300 50% of instruments was not forming 5 mins data of whole day

    E.g. from 09:15 to 3:25 we should get 76 records of 5 mins but we are not getting 76 records for 50% of instruments any idea how we can troubleshoot?

    Attaching file where the count of 5 mins data for each instruments
  • SRIJAN
    Missing ticks(difference between candles on Kite and your app) can be caused by connection related issues as described above by Rakesh Sir in this thread .

    But,if you're not getting 75 ,5 min candles,this means that there is error in your candle building logic.
  • sujith
    @kingbros,
    Are these volatile instruments? It is possible that there are no ticks for a while for illiquid instruments know.
  • cskasm
    @smathur : I'm facing the same issue. I asked them to do a simple matching check (i.e. match the data between their server and a local machine, connected through websocket). But they are adamant to not check it!. It would at least reveal if the problem is with the internet connection or something else.
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