I have designed and backtested an intraday strategy with 1 min candles retrieved using the kite historical API. I understand I can not get 1 min interval streaming data and its not efficient to use historical API after passing every minute to retrieve last minute candle. So I have to basically reconstruct 1 min internal candles from the streaming data. The only related question so far asked and its response is given below.
But this does not clear my doubts and hence this post.
1) The fact that we don't get timestamp information in streaming data makes it difficult to construct minute candles. What is the best way to construct 1 minute candles from streaming data? How do you do it on Kite? One solution I can think of is to attach my own system time stamp for each tick and construct 1 min candles.
2) OHLC data on streaming ticks is that of entire day not for that tick alone. For example, I get OHLC data as {'low': 1064.7, 'close': 1087.55, 'open': 1097.0, 'high': 1097.0} for RELIANCE for few hours until any of the OHLC change during the day. Is this how it is or is this a bug? If this is how it is, then I simply can't ignore ticks between minutes but have to process them to record OHLC. Am I right in saying so?
If I can't accurately reconstruct 1min candles from the streaming data, all my backtesting would be of no use. Thanks in advance...
2) This is how exchanges broadcast the data. OHLC is for the day. You should use the LTP field to compute your own OHLC.