Data anomaly in historical data (day/5minute candles)

meeashok

Hey Team,

I found an anomaly in historical data for following day candles.

symbol,date,open
ARVIND 2018-11-27 09:15:00 308.0
ARVIND 2018-11-28 09:15:00 109.45
KOTAKNIFTY 2017-07-26 09:15:00 1004.92
KOTAKNIFTY 2017-07-27 09:15:00 109.5
ADANIENT 2015-06-03 09:15:00 573.29
ADANIENT 2015-06-04 09:15:00 112.0
IDFC 2015-09-30 09:15:00 140.3
IDFC 2015-10-01 09:15:00 69.15
IDEA 2019-03-28 09:15:00 28.55
IDEA 2019-03-29 09:15:00 17.95
IBULHSGFIN 2019-09-30 09:15:00 360.6
IBULHSGFIN 2019-10-01 09:15:00 253.0
INFIBEAM 2018-09-28 09:15:00 180.35
INFIBEAM 2018-10-01 09:15:00 64.25
INFIBEAM 2018-10-22 09:15:00 53.55
INFIBEAM 2018-10-23 09:15:00 37.0
DISHTV 2019-01-25 09:15:00 33.8
DISHTV 2019-01-28 09:15:00 22.4
DHFL 2018-09-21 09:15:00 615.15
DHFL 2018-09-24 09:15:00 385.6
CENTURYTEX 2019-10-10 09:15:00 920.0
CENTURYTEX 2019-10-11 09:15:00 390.0
BSOFT 2019-01-23 09:15:00 215.0
BSOFT 2019-01-24 09:15:00 135.0
MASTEK 2015-06-11 09:15:00 447.5
MASTEK 2015-06-12 09:15:00 150.0
JSL 2015-11-18 09:15:00 59.9
JSL 2015-11-19 09:15:00 21.0
PCJEWELLER 2018-05-02 09:15:00 148.0
PCJEWELLER 2018-05-03 09:15:00 100.65
PNCINFRA 2015-12-31 09:15:00 537.45
PNCINFRA 2016-01-04 09:15:00 108.2

The same anomaly exists in 5-minute candles also. Please let me know how to solve this problem. The issue might be due to stock split.

meeashok

Here are few more anomalies in 5minute data, 9:15 open values are different in day candle compare to 5-minute candles
symbol date day_candle_open 5minute_open
47 INFY 2015-06-12 09:15:00 501.25 1002.95
75 MOTHERSUMI 2015-07-22 09:15:00 156.89 235.25
125 CADILAHC 2015-10-05 09:15:00 423.00 2115.25
626 BAJAJFINSV 2017-10-18 09:15:00 5379.80 4827.10
64 FEDERALBNK 2015-07-07 09:15:00 78.43 156.75
112 BEL 2015-09-11 09:15:00 105.00 314.09
118 COLPAL 2015-09-22 09:15:00 987.00 1973.95
72 AUROPHARMA 2015-07-17 09:15:00 762.50 1525.00
811 NIITTECH 2018-07-17 09:15:00 1131.35 1022.00
126 BATAINDIA 2015-10-06 09:15:00 546.50 1093.00
118 DIVISLAB 2015-09-22 09:15:00 1120.00 2241.00
64 KOTAKBANK 2015-07-07 09:15:00 724.98 1448.00
209 IDFCFIRSTB 2016-02-09 09:15:00 45.00 52.00

rakeshr

@meeashok
We checked for above scrips for the mentioned time,it has gone through Spin off corporate action.
And we adjust only for split and bonus corporate action.

meeashok

Hey Rakesh,

Is it possible to adjust it for Spin-off corporate action also? Values in 5-minute candles and day candles should match.

sujith

I am afraid we can't do that. You can do it at your end before consuming the data.