Some Ticks without Time Stamp Field

babansfolio

Hello Zerodha Team,


Observed one strange behavior during Tick Data collection, Is that Expected Behavior?
Why in some Ticks Time Stamp is missing?
One Real example from Today's collection shared below.
Please share your feedback.

Wrong Tick (Time Stamp Missing and other fields missing )

{'tradable': True, 'mode': 'quote', 'instrument_token': 11084802, 'last_price': 0.0, 'last_quantity': 0, 'average_price': 0.0, 'volume': 0, 'buy_quantity': 3820, 'sell_quantity': 3100, 'ohlc': {'open': 0.0, 'high': 0.0, 'low': 0.0, 'close': 1815.7}, 'change': -100.0}

Correct Tick (Time stamps and other fields available)

{'tradable': True, 'mode': 'full', 'instrument_token': 12459522, 'last_price': 833.6, 'last_quantity': 20, 'average_price': 0.0, 'volume': 0, 'buy_quantity': 8620, 'sell_quantity': 960, 'ohlc': {'open': 0.0, 'high': 0.0, 'low': 0.0, 'close': 550.0}, 'change': 51.56363636363637, 'last_trade_time': datetime.datetime(2019, 10, 11, 14, 31, 52), 'oi': 120, 'oi_day_high': 0, 'oi_day_low': 0, 'timestamp': datetime.datetime(2019, 10, 14, 9, 16, 1), 'depth': {'buy': [{'quantity': 320, 'price': 454.75, 'orders': 2}, {'quantity': 60, 'price': 454.65, 'orders': 1}, {'quantity': 20, 'price': 437.8, 'orders': 1}, {'quantity': 60, 'price': 437.75, 'orders': 1}, {'quantity': 20, 'price': 437.7, 'orders': 1}], 'sell': [{'quantity': 160, 'price': 594.55, 'orders': 3}, {'quantity': 40, 'price': 594.6, 'orders': 1}, {'quantity': 180, 'price': 595.1, 'orders': 2}, {'quantity': 100, 'price': 595.3, 'orders': 1}, {'quantity': 40, 'price': 595.95, 'orders': 1}]}}

rakeshr

@babansfolio

'mode': 'quote'

As you have subscribed to Quote mode here, so it only shows 44 Bytes data excluding Last traded time stamp.You can check complete documentation here.

'mode': 'full'

Subscribtion to FULL mode shows all 184 bytes including market depth.Check complete streaming quote packet structure here.

babansfolio

Hi @rakeshr : Thanks for your feedback.
No I have subscribed FULL Mode.
Some time in some ticks Time stamps are missing its not persistent problem.

sujith

By default, a new subscription is to mode quote. You need to explicitly set the mode to full after you subscribe for ticks.
Make sure you set it to full mode every time you subscribe to data.

babansfolio

@sujith : This problem is not due to Mode setting. My system is listening around 300 Instruments. All have been subscribed as FULL MODE.

Now some ticks in a days comes without Time stamps. One Live example shared above.

My Observation this problem raised from Weekly Deep OTM Option Ticks.

sujith

Kite Ticker only sends a timestamp with full mode ticks. A quote mode tick will not have timestamp data.
By looking at the above example, everything seems fine.
You can maybe add a log to check what is the mode of tick when timestamp is missing.

Please note that after reconnection also the client library will subscribe first and then set mode. Maybe this is what you might have come across.