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Duplicated post market OHLC data for Nifty 50

mlearner
mlearner in Market data (WebSockets)
Hi,

Noticing some strange behaviour in Data API today.

Earlier for a day (checked until 23 Nov '20), I used to get exactly 75 candle entries from Historical Data API for 5-min OHLC data for Nifty 50 (9:15 am - 3:30 pm). This is as expected.

Of late, started getting duplicated OHLC data for post market timestamps. Getting 126 entries for 5-min OHLC for a day. 51 junk entries like shown below because of post market repeated candles.

Note: Timestamps below are in UTC. 
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{ "_id" : ObjectId("5fca506189617b1d51d6770c"), "timestamp" : ISODate("2020-12-04T09:45:00Z"), "open" : 13256.6, "high" : 13260.85, "low" : 13253.65, "close" : 13257.55 }
{ "_id" : ObjectId("5fca506189617b1d51d6770d"), "timestamp" : ISODate("2020-12-04T09:50:00Z"), "open" : 13257.35, "high" : 13271.65, "low" : 13255.45, "close" : 13270.2 }
{ "_id" : ObjectId("5fca506189617b1d51d6770e"), "timestamp" : ISODate("2020-12-04T09:55:00Z"), "open" : 13270.55, "high" : 13276.9, "low" : 13269.4, "close" : 13270.7 }
{ "_id" : ObjectId("5fca506189617b1d51d6770f"), "timestamp" : ISODate("2020-12-04T10:00:00Z"), "open" : 13271.05, "high" : 13271.05, "low" : 13258.55, "close" : 13258.55 }
<b class="Bold">{ "_id" : ObjectId("5fca506189617b1d51d67710"), "timestamp" : ISODate("2020-12-04T10:05:00Z"), "open" : 13258.55, "high" : 13258.55, "low" : 13258.55, "close" : 13258.55 }
{ "_id" : ObjectId("5fca506189617b1d51d67711"), "timestamp" : ISODate("2020-12-04T10:10:00Z"), "open" : 13258.55, "high" : 13258.55, "low" : 13258.55, "close" : 13258.55 }
{ "_id" : ObjectId("5fca506189617b1d51d67712"), "timestamp" : ISODate("2020-12-04T10:15:00Z"), "open" : 13258.55, "high" : 13258.55, "low" : 13258.55, "close" : 13258.55 }
{ "_id" : ObjectId("5fca506189617b1d51d67713"), "timestamp" : ISODate("2020-12-04T10:20:00Z"), "open" : 13258.55, "high" : 13258.55, "low" : 13258.55, "close" : 13258.55 }
{ "_id" : ObjectId("5fca506189617b1d51d67714"), "timestamp" : ISODate("2020-12-04T10:25:00Z"), "open" : 13258.55, "high" : 13258.55, "low" : 13258.55, "close" : 13258.55 }
{ "_id" : ObjectId("5fca506189617b1d51d67715"), "timestamp" : ISODate("2020-12-04T10:30:00Z"), "open" : 13258.55, "high" : 13258.55, "low" : 13258.55, "close" : 13258.55 }</b>
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I am giving below as timestamp -

from_date = datetime.datetime(2020, 12, 4)
to_date = datetime.datetime(2020, 12, 5)
data = kite.historical_data(constants.NIFTY50_INSTRUMENT_TOKEN, from_date, to_date, '5minute')

Even if I am giving exact timestamp as per market opening / closing time, I am getting truncated entries starting from 12:30 pm IST and till 3:30 pm IST. This is again a weird behaviour.

from_date = datetime.datetime(2020, 12, 4,3,45,0)
to_date = datetime.datetime(2020, 12, 4,10,0,0) 
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0  2020-12-04 07:00:00+05:30  13133.90  13133.90  13133.90  13133.90       0
1  2020-12-04 07:05:00+05:30  13133.90  13133.90  13133.90  13133.90       0
2  2020-12-04 07:10:00+05:30  13133.90  13133.90  13133.90  13133.90       0
3  2020-12-04 07:15:00+05:30  13133.90  13133.90  13133.90  13133.90       0
4  2020-12-04 07:20:00+05:30  13133.90  13133.90  13133.90  13133.90       0
5  2020-12-04 07:25:00+05:30  13133.90  13133.90  13133.90  13133.90       0
6  2020-12-04 07:30:00+05:30  13133.90  13133.90  13133.90  13133.90       0
7  2020-12-04 07:35:00+05:30  13133.90  13133.90  13133.90  13133.90       0
8  2020-12-04 07:40:00+05:30  13133.90  13133.90  13133.90  13133.90       0
9  2020-12-04 07:45:00+05:30  13133.90  13133.90  13133.90  13133.90       0
10 2020-12-04 07:50:00+05:30  13133.90  13133.90  13133.90  13133.90       0
11 2020-12-04 07:55:00+05:30  13133.90  13133.90  13133.90  13133.90       0
12 2020-12-04 08:00:00+05:30  13133.90  13133.90  13133.90  13133.90       0
13 2020-12-04 08:05:00+05:30  13133.90  13133.90  13133.90  13133.90       0
14 2020-12-04 08:10:00+05:30  13133.90  13133.90  13133.90  13133.90       0
15 2020-12-04 08:15:00+05:30  13133.90  13133.90  13133.90  13133.90       0
16 2020-12-04 08:20:00+05:30  13133.90  13133.90  13133.90  13133.90       0
17 2020-12-04 08:25:00+05:30  13133.90  13133.90  13133.90  13133.90       0
18 2020-12-04 08:30:00+05:30  13133.90  13133.90  13133.90  13133.90       0
19 2020-12-04 08:35:00+05:30  13133.90  13133.90  13133.90  13133.90       0
20 2020-12-04 08:40:00+05:30  13133.90  13133.90  13133.90  13133.90       0
21 2020-12-04 08:45:00+05:30  13133.90  13133.90  13133.90  13133.90       0
22 2020-12-04 08:50:00+05:30  13133.90  13133.90  13133.90  13133.90       0
23 2020-12-04 08:55:00+05:30  13133.90  13133.90  13133.90  13133.90       0
24 2020-12-04 09:00:00+05:30  13133.90  13173.55  13089.35  13164.25       0
25 2020-12-04 09:05:00+05:30  13164.40  13178.05  13162.20  13177.40       0
26 2020-12-04 09:10:00+05:30  13177.40  13177.40  13177.40  13177.40       0
27 2020-12-04 09:15:00+05:30  13177.40  13186.30  13165.20  13182.95       0
28 2020-12-04 09:20:00+05:30  13181.75  13193.20  13180.25  13188.95       0
29 2020-12-04 09:25:00+05:30  13189.30  13195.00  13183.95  13192.25       0
30 2020-12-04 09:30:00+05:30  13192.35  13203.40  13191.25  13203.40       0
31 2020-12-04 09:35:00+05:30  13201.30  13204.00  13194.55  13197.20       0
32 2020-12-04 09:40:00+05:30  13196.90  13212.20  13195.65  13209.65       0
33 2020-12-04 09:45:00+05:30  13210.40  13213.20  13197.40  13202.10       0
34 2020-12-04 09:50:00+05:30  13201.65  13211.75  13199.05  13211.25       0
35 2020-12-04 09:55:00+05:30  13212.40  13215.00  13202.90  13212.00       0
36 2020-12-04 10:00:00+05:30  13212.10  13219.60  13211.20  13218.35       0

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Is anything broken in kite.historical_data API?

Thanks.
Tagged:
  • mlearner
    mlearner
    Getting exactly 75 values right now for 5-min OHLC when I am firing Historical Data API with below from time, to time.

    from_date = datetime.datetime(2020, 12, 4)
    to_date = datetime.datetime(2020, 12, 5)

    Was historical API having any issue yesterday with data? And any cleanups done in database?
  • rakeshr
    rakeshr
    @mlearner
    Is anything broken in kite.historical_data API? And any cleanups done in database?
    No, nothing is broken. Post-market received data clean-up is done at EOD(end of the day) for Historical data APIs. So, if you don't want to receive any post-market data, you can just send the exact market start and end timestamp for the respective exchange. Something like below: 
    from_date = datetime.datetime(2020, 12, 4, 9, 15, 00)
    to_date = datetime.datetime(2020, 12, 4, 15, 30, 00)
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