incorrect volume data for ticks received through web sockets.

samba

Hi,
My app subscribed to Web Sockets(java API) to receive tick data . every minute i am consolidating the ticks to form the minute candle. I can see the volume is not matching with the actual volume represented in Kite/NSE for that minute.... There is a huge difference if the volatility is more during that time frame.

Does the ticks received through websocket will have the correct volume or not??? .

rakeshr

@samba
We do not do any modification in WebSocket stream,it is relayed as received from the exchange.
Don't compare live date with nse website, as same is delayed by 2-3 minutes.

samba

No, i am not comparing the live data with NSE. After forming 1min candles, I am getting the history data for that minute and doing comparison. There i can see lot of difference in volume... I will share one example by logging the ticks as well as history data for the same minute.

zegulas

Hello team,

Here is a screenshot of the difference in volume for tick data vs 1 min candle data.
https://ibb.co/wRB9jgy

rakeshr

Is this volume for that specific tick received? or commutation of ticks received within that minute.

zegulas

it is the sum of all the volumes of ticks in that particular minute for that particular symbol.

rakeshr

We use the same ticks/websocket stream to form candles. Make sure, you are correctly aggregating volume. And use Volume traded for the day field to calculate the total volume within that time range(minuteEndVolume - minuteStartVolume).