Not receiving the first tick of the day

Chidambaram

Hi, for today (4th march 2025), for the following stocks (ECLERX, KARURVYSYA, NETWEB, NH, NUVAMA), i did not receive the 1st tick from the web socket. in some cases the ticks were delayed by 3-4 seconds even.

I have a logic on my end to calculate candles based on last_price and that has significantly changed because of the delay. Consider the following ticks I received first on my end

{'tradable': True, 'mode': 'full', 'instrument_token': 470529, 'last_price': 195.21, 'last_traded_quantity': 200, 'average_traded_price': 194.87, 'volume_traded': 6635, 'total_buy_quantity': 12911, 'total_sell_quantity': 28400, 'ohlc': {'open': 194.87, 'high': 194.87, 'low': 194.87, 'close': 199.97}, 'change': -2.380357053558029, 'last_trade_time': datetime.datetime(2025, 3, 4, 9, 7, 6), 'oi': 0, 'oi_day_high': 0, 'oi_day_low': 0, 'exchange_timestamp': datetime.datetime(2025, 3, 4, 9, 15, 3), 'depth': {'buy': [{'quantity': 445, 'price': 194.87, 'orders': 10}, {'quantity': 497, 'price': 194.68, 'orders': 1}, {'quantity': 2, 'price': 194.25, 'orders': 1}, {'quantity': 167, 'price': 194.11, 'orders': 1}, {'quantity': 300, 'price': 194.1, 'orders': 2}], 'sell': [{'quantity': 1, 'price': 196.15, 'orders': 1}, {'quantity': 2000, 'price': 196.8, 'orders': 1}, {'quantity': 850, 'price': 196.85, 'orders': 1}, {'quantity': 1000, 'price': 197.0, 'orders': 1}, {'quantity': 71, 'price': 197.45, 'orders': 1}]}}

The 1st tick was received at 09:15:03 and as I result, I calculated the open price as LTP which is 195.21 and siginificantly differing from the actual open of 194.87. This happened for many stocks for me today.

Consider another case where the difference was huge

{'tradable': True, 'mode': 'full', 'instrument_token': 3885825, 'last_price': 2569.95, 'last_traded_quantity': 1, 'average_traded_price': 2506.7, 'volume_traded': 1286, 'total_buy_quantity': 1268, 'total_sell_quantity': 562, 'ohlc': {'open': 2506.7, 'high': 2506.7, 'low': 2506.7, 'close': 2622.55}, 'change': -2.005681493203194, 'last_trade_time': datetime.datetime(2025, 3, 4, 9, 7, 6), 'oi': 0, 'oi_day_high': 0, 'oi_day_low': 0, 'exchange_timestamp': datetime.datetime(2025, 3, 4, 9, 15, 2), 'depth': {'buy': [{'quantity': 3, 'price': 2506.7, 'orders': 1}, {'quantity': 51, 'price': 2505.0, 'orders': 2}, {'quantity': 96, 'price': 2504.25, 'orders': 1}, {'quantity': 5, 'price': 2502.55, 'orders': 1}, {'quantity': 2, 'price': 2502.0, 'orders': 1}], 'sell': [{'quantity': 5, 'price': 2589.25, 'orders': 1}, {'quantity': 5, 'price': 2594.95, 'orders': 1}, {'quantity': 1, 'price': 2600.0, 'orders': 1}, {'quantity': 5, 'price': 2600.65, 'orders': 1}, {'quantity': 5, 'price': 2606.35, 'orders': 1}]}}

The first tick I received has LTP of 2569.95 where as the actual open was 2506.7. This forced my algorithm to take a complete decision altogether. Kindly explain why this difference happens

Sravanthi_bh

You may try fetching an open price instead of LTP as the open is determined in the premarket session. You may also refer to this similar discussion here.