I would like to know if the daily historical data provided by Zerodha is guaranteed to be accurate. I have just subscribed to the historical data service and downloaded daily data from 2001 to 2006. After playing around with it for some time, I have found out quite a few (daily) candles are missing for multiple scrips. I'm wondering if it's my usage of the API or something else.
For example, data between 01/01/2003 & 24/01/2003 is missing for a lot of scrips. Also, some days have duplicated data for the same scrips.
There seem to be some glaring differences between the data provided by NSE (through BhavCopy) and the data retrieved through the Zerodha Historical API.
For example, below is the data of RELIANCE on 21st May 2005:
Notice how 23 candles are timestamped identically while the data is completely different.
Also, there is a issue with the 'SERIES' column provided by NSE. Since this column is dropped in Zerodha-provided data, it is not possible to differentiate between data of one scrip under different series.
Example: Below is the NSE-provided data for RELIANCE on 5th Jan 2001
SYMBOL SERIES OPEN HIGH LOW CLOSE LAST PREVCLOSE TOTTRDQTY TOTTRDVAL TIMESTAMP RELIANCE BE 359 361.5 359 361.5 361.5 338.2 40000 14385000 05-Jan-01 RELIANCE EQ 356.5 366.8 356.5 364.3 363.4 357.8 7460148 2701229190 05-Jan-01
and below is the same data provided by Zerodha -
close date high low open volume 0 180.75 2001-01-05T09:15:00+0530 180.75 179.50 179.50 80000 1 182.15 2001-01-05T09:15:00+0530 183.40 178.25 178.25 14920296
Notice how the data provided by Zerodha turns out to be duplicate candle since the 'SERIES' column is missing.
I would like to know if there is a way to bypass such issues with Zerodha-provided data. For example, is there is a particular date after which the data provided by Zerodha is guaranteed to be accurate?
There seem to be some glaring differences between the data provided by NSE (through BhavCopy) and the data retrieved through the Zerodha Historical API.
For example, below is the data of RELIANCE on 21st May 2005:
close date high low open volume
0 82.08 2004-05-21T09:15:00+0530 82.36 80.01 80.09 24606588
1 82.34 2004-05-21T09:15:00+0530 82.81 80.37 81.22 29001648
2 81.38 2004-05-21T09:15:00+0530 83.10 78.10 81.70 38611600
3 81.74 2004-05-21T09:15:00+0530 83.40 81.41 81.94 21571560
4 83.21 2004-05-21T09:15:00+0530 83.69 81.42 83.67 26980928
5 82.21 2004-05-21T09:15:00+0530 83.87 81.82 82.36 24861068
6 83.20 2004-05-21T09:15:00+0530 83.87 82.28 82.53 17186688
7 81.74 2004-05-21T09:15:00+0530 84.63 81.41 84.63 18890984
8 82.27 2004-05-21T09:15:00+0530 84.80 81.99 84.48 23363088
9 84.22 2004-05-21T09:15:00+0530 85.12 82.36 82.36 26446700
10 81.92 2004-05-21T09:15:00+0530 85.37 80.69 84.64 35619668
11 84.76 2004-05-21T09:15:00+0530 85.58 84.25 84.99 14067340
12 81.10 2004-05-21T09:15:00+0530 85.62 80.11 84.44 28834780
13 85.31 2004-05-21T09:15:00+0530 85.67 82.17 82.38 27143296
14 84.21 2004-05-21T09:15:00+0530 85.96 83.52 85.96 19679360
15 84.47 2004-05-21T09:15:00+0530 86.30 83.80 85.77 18215632
16 86.19 2004-05-21T09:15:00+0530 86.44 83.59 84.25 29062976
17 86.01 2004-05-21T09:15:00+0530 86.52 83.14 85.09 23610880
18 85.02 2004-05-21T09:15:00+0530 86.63 84.56 85.58 22831880
19 85.93 2004-05-21T09:15:00+0530 86.71 84.26 85.20 27027636
20 85.35 2004-05-21T09:15:00+0530 86.76 85.07 86.53 20544960
21 86.28 2004-05-21T09:15:00+0530 87.07 82.67 85.77 32026488
22 86.96 2004-05-21T09:15:00+0530 88.61 86.22 87.09 27379240
Notice how 23 candles are timestamped identically while the data is completely different.
Also, there is a issue with the 'SERIES' column provided by NSE. Since this column is dropped in Zerodha-provided data, it is not possible to differentiate between data of one scrip under different series.
Example: Below is the NSE-provided data for RELIANCE on 5th Jan 2001
SYMBOL SERIES OPEN HIGH LOW CLOSE LAST PREVCLOSE TOTTRDQTY TOTTRDVAL TIMESTAMP
RELIANCE BE 359 361.5 359 361.5 361.5 338.2 40000 14385000 05-Jan-01
RELIANCE EQ 356.5 366.8 356.5 364.3 363.4 357.8 7460148 2701229190 05-Jan-01
and below is the same data provided by Zerodha -
close date high low open volume
0 180.75 2001-01-05T09:15:00+0530 180.75 179.50 179.50 80000
1 182.15 2001-01-05T09:15:00+0530 183.40 178.25 178.25 14920296
Notice how the data provided by Zerodha turns out to be duplicate candle since the 'SERIES' column is missing.
I would like to know if there is a way to bypass such issues with Zerodha-provided data. For example, is there is a particular date after which the data provided by Zerodha is guaranteed to be accurate?
Regards,
Ashwin