Today I tried to read websocket tick data OHLC at 9:16:00(first tick read) and later compared that with OHLC of first minute from historical data. But it was not matching.
That means its error-prone to construct minute candle from tick data...Since my prog is on AWS there is unlikely to be problem at my end.
Please let me know "Whats guarantee that if I get tick at time X then its approx corresponds to data(OHLC) upto time X"
No I am talking about first minute ending at 9:16am ... I am using streaming over historical API becauze I want to read 500 stocks and need to make 500 GET requests but AWS has limitation on max GET requests so using streaming
@sameer please go through this answer on TradingQ&A. What you need to keep in mind is that the data you get from the Historical API isn't from a database that records the ticks from the websockets. It's a completely different database, so, with reference to Nithin's answer, it'd be quite unlikely that the data points match. The authenticity of the data cannot be questioned based on this.
Websocket ticks cannot be used to create candles because OHLC and volume of websocket is not that second's data. It is day's data.