Differences in Historic data when taken on different days

nikkite15
1. I took Historic data of 5 min Nifty 50 csv format thru Python client on 8 Feb & 9 Feb.
2. Both should be same but i see in some date-time differences in the range of Rs 0.05 to 1.4
3. e.g.
8 feb 2020 downloaded data has - 6/19/2019 15:05 11668.1 11692.1 11664.25 11690.05
9 feb 2020 downloaded data has - 6/19/2019 15:05 11668.1 11692.1 11664.25 11691.45
Low has difference of 1.4

8 feb 2020 downloaded data has - 4/10/2019 9:15 11645.6 11656.85 11639.45 11656.05
9 feb 2020 downloaded data has - 4/10/2019 9:15 11646.85 11656.85 11639.45 11656.05
open has difference of 1.25

8 feb 2020 downloaded data has 6/20/2019 10:20 11716.95 11719.9 11711.7 11715.4
9 feb 2020 downloaded data has 6/20/2019 10:20 11716.95 11720 11711.7 11715.4
high has difference of 0.1

Apart from these there are 18 to 20 5min entries where difference is present. I expect that NO DIFFERENCE as same data source is used and same params used.whats the remedy /fix for this as My Trading system requires accurate data thats why I purchased this Historic Data module but if data is changing everyday then its not accurate one.

My python code for download csv:
records=kite.historical_data(instrument_token=256265, from_date="2015-01-01 09:15:00", to_date="2015-03-31 15:30:00", interval='5minute',oi=0)
df = pd.DataFrame(records)
df=df.drop(columns=["volume"])
df['date']=df['date'].dt.tz_localize(None)
df.sort_values(by=['date'], inplace=True, ascending=False)
df.to_csv(r"E:\Tools\Kite Connect\Data\NIFTY\5min\2015_1.csv",index=False)
  • rakeshr
    @nikkite15
    We have forwarded it to data team.Our team is investigating this.
  • sujith
    sujith edited February 10
    Though we have forwarded your query to the data team. It is important to keep some bullets while working with historical data.
    There is nothing called a accurate data. Each platform will create candles using the data that is captured using the live market data. Generally, the idea is to capture the trend.

    No two platform data will match for the same timeframe since tick data is received via the internet and there can be drops.
    You can refer to this thread to know more.

    It is not possible to achieve 100% accuracy unless you have a co-location server which will record each and every tick at the exchange. The setup costs you around 18 lakhs per annum. If you want this setup, you can write to kiteconnect(at)zerodha.com someone from our team will connect with you for assistance.

    If the dataset provided by us is not feasible for your use-case then I would suggest consulting some exchange registered data vendor.
  • sujith
    sujith edited February 10
    For live strategies, we recommend generating candles at your end using the live market data provided via Kite Ticker.
  • nikkite15
    1) Sujith- Thanks for reply. I already know about different Data sources/vendors will have difference in prices. Also know that data I am getting Level 2 data so its not 100% accurate. Thats why for my system I dont mix data from different vendors.
    2) But I have not raised ticket for that.My concern is- I downloaded data from your source only so no question of different data providers. All parameters are same (same data source, historic data, 5min time frame, same format ) but on different days of download prices are different , which should not be case. I hope your Data Team will correct this and revert.
  • nikkite15
    Any updates on this?
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