significant difference in Futures Open Interest Data between z-feed and NSE

raja1sttarde
Hello,

There is a major gap in Open Interest data.
Quote date for NFO:ITC19JANFUT;
Open Interest;
Zerodha: 78408000
NSE data : 7,67,32,800

That's a difference of 1,675,200!? According to Z data OI went up 1,159,200 while according to NSE data it went down 516,000.

How is this even possible? I had pointed out problems in data before here but you guys gave me the run around. That was options illiquid strikes, ok, i could work around that.

But this, this is current month futures data.




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  • Nikhil.A
    @raja1sttarde You'll see that the data on the NSE website is as of 15:26:50 while the data on the feed you're getting from Kite is for 15:30:00. That's a full 3 minutes apart.

    Also, the data on the NSE website isn't necessarily always accurate. It may be delayed. The feed NSE gives us, however, is real-time.
  • raja1sttarde
    @Nikhil.A even if what you say was correct, that would mean of the ~14 million futures that got traded the entire day, 2 million got traded in the last 3 minutes? 1.5 mil that was added OI got sold, and an additional 500k OI position got closed?

    Anyway the snapshot I took was at 9pm. Also, the NSE day-end file numbers are the same as on website, ei IO ~-500k.
    If you see, the above images, the volume for z-feed and NSE is the same 6196 * 2400 = 14870400

    I would be worried if it was thousand off, even ~100k is understandable, but a difference of 2m, that too in opposite direction..., and you just want to push it off as noob user, that's a problem...
  • raja1sttarde
    @HowUTrade
    I have been getting big differences in z-feed and nse day end files. Obviously I thought Z-feed goofed up. (my apologies @Nikhil.A if I sounded ticked off, I really didn't think the problem is with NSE) But something didn't feel right so I tracked the OI on z-feed and NSE today.

    I did a screenshot of NSE site YESBANK Jan futures at 3:30pm and then again at 9:20pm. The OI numbers matched with z-feed at 3:30 pm. Now at 9:20 pm i matched the NSE day end files and there is a HUGE difference. On the NSE site itself the numbers are different. At 3:30 pm change in OI was 55,93,000, now it is -15,71,500

    Same with ITC jan fut. It had change of OI +3,744,000 now it is down at +1,207,200. At 3:30 i checked. both z-feed and nse said the same thing, now it is different.

    The volume is the same. So no further transaction took place.

    I am at a complete loss. I was hoping you could help me out. Below are the screenshots...



  • HowUTrade
    @raja1sttarde

    The difference in the OI at 1530 Hrs & after 1630 Hrs is due to "the clearing member trade settlements" that happens after normal market close. Trade volume remains same, only the OI changes based on the clearing and settlement.

    This has been nicely explained by @nithin at here
    https://tradingqna.com/t/is-the-live-open-interest-oi-data-being-provided-by-exchanges-correct/7208/2

    More info on this
    https://www.nseindia.com/products/content/derivatives/equities/cp_deals.htm
  • raja1sttarde
    @HowUTrade thanks again!!

    it all makes sense now.

    incase anyone ever reads this and wonders what it means. the 'institution' show long position and use the leverage for all sorts of mayham intraday. they just have to tally it at end of day. basically the larger the 'institution' the more mayham it can cause.

    yesterday YESBANK jan futures showed positived OI through out day at 3:30pm OI change was +5m at end of day oi change was -1.5m. there was ~7m difference after settlement.

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