Currently, the Historical data API provides Continuous contract data assuming the Rollover to next contract happens on the expiry date. But this is not the case. Different strategies may use different rollover triggers like: rollover to next contract when it's volume and / or open interest is greater than that of current contract. Or rollover to next contract one day before the delivery intention period starts. Or may be some other date based logic or combination of conditions.
So, could you provide the below using which we can ourselves splice together the contracts for each symbol based on any logic that we may have for the Rollover dates:
1. List of all contracts for each symbol. For e.g. for NIFTY it would be NIFTYFEB18FUT, NIFTYJAN18FUT, ... etc. 2. The daily data for all the traded days for each particular contract.
Let me know if you need any further clarification...
Hi @ishwarm, You can get all the instruments of NFO segment that is being traded for the day in the instrument dump. we do provide day candles for all the expired instruments.
@sujith I am referring to the data for all the contracts starting from time you provide history for. The instrument dump only has currently active contracts list. Day candles for expired instruments are provided only for the respective current month contracts throughout but not for the next month and other contracts as I understand. Basically, we would need all the historical data for all the historical contracts.
If you send next month instrument token(NIFTY18MAYFUT) and ask for historical data of date Feb 2018 then you will get data of the next month instrument in Feb 2018. It is not confined to the current month.
Ok, let me clarify. By historical data for past contracts I meant that I should be able to get the data for NIFTY17SEPFUT contract or NIFTY16JULFUT contract, for example. I may not have the instrument tokens for these past years contracts, but should be able to query using the above contract names.
Yes, I can get data for NIFTY17SEPFUT from 01-sep-2017 to 28-sep-2017 using continuous flag as true. But NIFTY17SEPFUT itself was also traded in the month of Aug 2017, for which the data is not available right now. Any way you could support getting this data too?
Ah ok. I understand how to get it now, thanks! Also, another requirement was to have the Open Interest data and Traded Value or Turnover (in INR) for the day for the contract in addition to the Volume data that's available.
You can get all the instruments of NFO segment that is being traded for the day in the instrument dump.
we do provide day candles for all the expired instruments.
It is not confined to the current month.
Also, another requirement was to have the Open Interest data and Traded Value or Turnover (in INR) for the day for the contract in addition to the Volume data that's available.