How accurate is Historical data?

KamalChhirang
Hello,

Reliance share open price on 3rd Jan 2000 according to Zerodha is: 45.72 (NSE) and volume traded is 23150255

Reliance share open price on 3rd Jan 2000 according to Yahoo is: 37.095798 (NSE) and Volume traded is 28531559

According to this website, the share price is 62.34 https://www.moneycontrol.com/stock-charts/relianceindustries/charts/RI

I wanted to know, which price is accurate? Can I trust Zerodha historical data blindly? Since Zerodha does not have data before 2000, I was hoping to use Yahoo data for that, but both data are quite different for this share. I found the same inconsistency in other stocks also.

I am new to share market, so please forgive me, If I am asking an obvious question.


  • KamalChhirang
    I am talking about Historical 1 day data, just to be clear.
  • rakeshr
    @KamalChhirang
    Reliance share open price on 3rd Jan 2000 according to Zerodha is: 45.72 (NSE) and volume traded is 23150255
    Reliance share open price on 3rd Jan 2000 according to Yahoo is: 37.095798 (NSE) and Volume traded is 28531559
    You mean the difference on an intraday candle(minute) or for a day candle?
    For the day candle, we sync the day candle with bhav copy at EOD, so this can't be wrong. If you mean for a minute candle, you can know here the reason for the difference.
  • KamalChhirang
    @rakeshr Thank you so much. Yes, I meant the day candle. Just to be sure, the volume is also accurate?

    And is there any way to get data before 2000 that is consistent with Zerodha's data? Thank you.
  • rakeshr
    @KamalChhirang
    Just to be sure, the volume is also accurate?
    Yes, you can verify the same from Nse.
    And is there any way to get data before 2000 that is consistent with Zerodha's data?
    For most of the NSE contracts, you can get a day candle before 2000. You can go through this thread to know more about the data availability period.
  • KamalChhirang
    @rakeshr Sir,

    According to day candle, the open price of PERSISTENT on 2015-03-09 was 937, but according to the minute candle, the open price was 1872.05 at 9:15.

    Why is there a difference? The day candle price is correct, but the minute candle price is incorrect.

    Used the following code in Python to fetch the results:

    kite.historical_data(4701441,"2015-03-09 00:00:00", "2015-03-09 23:59:59", "day", continuous=False, oi=False)

    kite.historical_data(4701441,"2015-03-09 00:00:00", "2015-03-09 23:59:59", "minute", continuous=False, oi=False)
  • rakeshr
    There was a bonus issue of 1:1 on 2015-03-10. For much older historical data, we adjust corporation action only for day candles, not for intraday candles. So, the difference. For recent historical data(post-2017), we adjust both days as well as intraday candles.
  • KamalChhirang
    KamalChhirang edited December 2020
    Do you adjust the candle from 1st Jan 2017? or 1st Jan 2018? @rakeshr , can you tell me the exact date please.

    Thank you.
  • KamalChhirang
    Also noticed this:

    "ABB" open price on 2019-12-20 (day candle) is 1324.

    But in the minute candle, the price is 1456? Why is there such a big difference?
  • rakeshr
    @KamalChhirang
    Do you adjust the candle from 1st Jan 2017? or 1st Jan 2018?
    There is an issue, regarding un-adjusted data from some period around 2015. We are checking on this. Once adjusted you can fetch it from 2015 onwards. We will update here.
    But in the minute candle, the price is 1456? Why is there such a big difference?
    You can go through this thread.
  • KamalChhirang
    KamalChhirang edited December 2020
    There is an issue, regarding un-adjusted data from some period around 2015. We are checking on this. Once adjusted you can fetch it from 2015 onwards. We will update here.
    @rakeshr No, I mean, can you please tell me the date from which the data is getting adjusted? You said post-2017. Can you tell me the exact date? From which date can I start relying on the data, It would be very helpful, thank you.
    You can go through this thread.
    Okay, I understand, there can be some difference like that. A bit surprised to see, why the difference is even as big as 5 times the actual open price in case of "GUJGASLTD" on 2018-12-17.

    Actual open price was 136.02 but minute candle showed 681.4. Is it even allowed to buy a share at 5 times its price?

    Thanks a lot for your help.
  • rakeshr
    @KamalChhirang
    I mean, can you please tell me the date from which the data is getting adjusted?
    Prior to 2019, we haven't adjusted intraday data for all contracts, but only for more active contracts. So, currently, we can't assure you about the fixed date for CA adjustment that applies to all contracts prior to 2019. For more active contracts, CA adjusted intraday data should be from 2015. We are backfilling data for this. Should be fixed soon.
    A bit surprised to see, why the difference is even as big as 5 times the actual open price in case of "GUJGASLTD" on 2018-12-17.
    Again, this is the same case of CA(Corporate action) of Stock Split From Rs.10/- to Rs.2/- happend on 15 Jan 2019. And we have adjusted data only from 26 Dec 2018.
  • KamalChhirang
    KamalChhirang edited December 2020
    Thank you @rakeshr
    Prior to 2019, we haven't adjusted intraday data for all contracts,
    In 2019 also, I can find some inconsistency

    ABB on 2019-12-20

    ALEMBICLTD on 2019-08-26
  • KamalChhirang
    KamalChhirang edited January 4
    @rakeshr SIr,

    Do you have a list of all the companies for which the data is adjusted with starting date? It would be really helpful. For now, I really cant figure out, what data to trust without checking everything manually.
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