How to get Getting data of time between the ticks???

malay
Hi,
I am streaming data for NIFTY FUT. And I noticed that I get ticks once about 5 to 10 seconds. Now I assume NIFTY17JUNFUT is not trading so slow; there must be 10s or 100s of orders getting executing per second.
It's ok for me to get intermittent ticks; I don't need trade by trade tick.
But the live tick contains only LTP and Day's High/Low.

So Is there a method to get the High, Low and Avg of trades that happened between the ticks?

I can download the day's min by min dump; and I can see that my ticks have missed few important max and min values. So when I back-test my algo on a min-by-min data (by reading it's max and min) my test shows different results. It's a big problem for me :(

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  • sujith
    Hi @malay,
    Websocket must always run on a separate dedicated thread. The only task of that thread must be receiving ticks. Once you get tick do your calculations and IO operations like writing to DB in a new thread.
    I hope that will solve your issue.
  • sujith
    Websocket will always give you day's data for OHLC.
    I am afraid we can't provide minute level data there.
    Live market data is published by exchange and we just send it to users.
  • malay
    @sujith Thanks for the info and suggestion. Let me see what I can do.
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