I am using the Kite Connect Python API (v3) and KiteTicker WebSocket to receive live market data and build candles for Nifty Futures & Options (NFO) contracts. I have encountered consistent discrepancies between the candle data (specifically Volume, but also sometimes OHLC) calculated from the WebSocket tick stream and the data retrieved using the historical_data API endpoint for the same completed candle interval.
Intervals: 10-minute and 1-hour (aligned to 9:15 AM market open)
Goal: Log accurate OHLCV data for strategy backtesting and potential live trading, requiring consistent data between real-time aggregation and historical verification.
Methodology:
WebSocket Candle Aggregation (ws_... values):
Subscribe to instrument tokens via KiteTicker in MODE_FULL.
Receive ticks via the on_ticks callback.
For each interval:
ws_open: ltp of the first tick in the interval.
ws_high/ws_low: Max/Min ltp seen during the interval.
ws_close: ltp of the last tick processed before the next interval begins.
ws_volume: Calculated as EndVol - StartVol, where StartVol is the cumulative volume_traded from the last tick before the interval started, and EndVol is the cumulative volume_traded from the last tick before the next interval started.
API Candle Fetch (api_... values):
Shortly after an interval completes (e.g., after 11:25:00 for the 11:15 candle), call the kiteconnect_instance.historical_data() endpoint.
Request data for the specific instrument_token, the specific interval (e.g., '10minute'), and set from_date and to_date to cover only that completed interval (e.g., from_date='YYYY-MM-DD 11:15:00', to_date='YYYY-MM-DD 11:24:59').
Extract the open, high, low, close, and volume fields from the returned candle data.
Observed Discrepancy:
When comparing the ws_... values and the api_... values for the same completed interval, I consistently observe differences:
Volume: The ws_volume (calculated from tick deltas) is almost always higher than the api_volume. This is the most significant and consistent discrepancy.
OHLC: Differences are also observed in OHLC values. Often ws_open differs slightly from api_open, and ws_close differs from api_close. High and Low match more frequently but can also differ occasionally.
Example Volume Data (HAL25MAYFUT - 14647554 on 2025-04-28):
