Let me clarify before I start .... I am aware it is impossible for NSE/Zerodha to capture and send every movement of a scrip. I also know Zerodha say they don't modify data before disseminating further. I also know how much does colo costs and who to contact. I am fully aware, and prepared, that there will always be data missed or delayed or both in the streamed ~1Hz tick.
However what I observe is bad data similar to race-condition effects.
For example, Tick1: 10:30:01: 20 shares traded at 100.50. TotalVol=100 Tick2: 10:30:02: 10 shares traded at 100.60. TotalVol=100 Tick3: 10:30:03: 30 shares traded at 100.40. TotalVol=100 Tick4: 10:30:03: 30 shares traded at 100.40. TotalVol=135
Obviously 20, 10 and 30 trades of Tick[1,2,3] are not coming from thin air ... they are reported with distinct timestamps, so must have happened. Now the last total-volume update (35 trades) in Tick4 can not be correct (because we know 20+10+30 trades did occur). This discrepancy can not be by missing or delayed data.... it is messed up data. We can not rely on even coarse-grained 1second ticks??!!
To be frank, either NSE or ZERODHA is at fault. Zerodha is a matured entity, but then NSE is far more so.
1) Can someone confirm if others too have noticed this anomaly? 2) If yes, are we sure it's nothing due to Zerodha ? (NSE messing data stream is unthinkable to me)
