Request you to check your Candle Creatiion calculation as i have used the Hisorical Ticks data from TrueData and built my candles. There is a difference in calculations request you to please cross verify below. for Script Name ABB get historical data(KITE) from 0915 HRS to 0920 HRS Candle, check the volume it will be 530 where as when you calculate from ticks (TRUEDATA) total volume is 558.
so either you are missing some ticks or some calculation problem.
You may have been missing 09:15:01 ticks scrip open high low close volume timestamp ABB 1432.00 1432.00 1432.00 1432.00 26 2018-03-09 09:15:01.000 ABB 1432.00 1432.00 1432.00 1432.00 1 2018-03-09 09:15:01.000 ABB 1432.00 1432.00 1432.00 1432.00 1 2018-03-09 09:15:01.000 exact gap of 58,
To verify the above i tried with Some othe symbol ACC
and found same Calculation you missed the first three ticks in calculating Candle
Hi, The volume data is not calculated. It is a cumulative volume, we just subtract the previous candle volume with new volume which is received by the exchange.
Sujith, It seems that the discrepancy is majorly for 9:15 Candle, i have checked with multiple scripts, and it is not only volume, it impacts the OHLC calculations as well in some of the cases. Please look at the second example.
I have found some more discrepancies in the data in Mid Day calculations.
Please check the Volume difference in 2018-03-13 14:05:00.000 True Data ScriptName Open Close Low High Volume DLF 218.50 218.20 217.05 218.75 142718
Kite ScriptName Open Close Low High Volume DLF 218.25 218.75 217.10 218.55 142654
Similarly there is a difference in difference in 2018-03-13 14:10:00 window as well.
and gap of 166 in second example
1551.25 1552.8 1543.15 1543.35 5389 Kite
1554.00 1554.00 1543.15 1543.35 5555 TrueData
The volume data is not calculated. It is a cumulative volume, we just subtract the previous candle volume with new volume which is received by the exchange.
It seems that the discrepancy is majorly for 9:15 Candle, i have checked with multiple scripts, and it is not only volume, it impacts the OHLC calculations as well in some of the cases. Please look at the second example.
I have found some more discrepancies in the data in Mid Day calculations.
Please check the Volume difference in 2018-03-13 14:05:00.000
True Data
ScriptName Open Close Low High Volume
DLF 218.50 218.20 217.05 218.75 142718
Kite
ScriptName Open Close Low High Volume
DLF 218.25 218.75 217.10 218.55 142654
Similarly there is a difference in difference in 2018-03-13 14:10:00 window as well.
The data from two trading terminals or sources will never match but it will be near.
You can check out this thread.