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Data anomaly in historical data (day/5minute candles)

meeashok
meeashok edited October 2019 in General
Hey Team,

I found an anomaly in historical data for following day candles.

symbol,date,open
ARVIND 2018-11-27 09:15:00 308.0
ARVIND 2018-11-28 09:15:00 109.45
KOTAKNIFTY 2017-07-26 09:15:00 1004.92
KOTAKNIFTY 2017-07-27 09:15:00 109.5
ADANIENT 2015-06-03 09:15:00 573.29
ADANIENT 2015-06-04 09:15:00 112.0
IDFC 2015-09-30 09:15:00 140.3
IDFC 2015-10-01 09:15:00 69.15
IDEA 2019-03-28 09:15:00 28.55
IDEA 2019-03-29 09:15:00 17.95
IBULHSGFIN 2019-09-30 09:15:00 360.6
IBULHSGFIN 2019-10-01 09:15:00 253.0
INFIBEAM 2018-09-28 09:15:00 180.35
INFIBEAM 2018-10-01 09:15:00 64.25
INFIBEAM 2018-10-22 09:15:00 53.55
INFIBEAM 2018-10-23 09:15:00 37.0
DISHTV 2019-01-25 09:15:00 33.8
DISHTV 2019-01-28 09:15:00 22.4
DHFL 2018-09-21 09:15:00 615.15
DHFL 2018-09-24 09:15:00 385.6
CENTURYTEX 2019-10-10 09:15:00 920.0
CENTURYTEX 2019-10-11 09:15:00 390.0
BSOFT 2019-01-23 09:15:00 215.0
BSOFT 2019-01-24 09:15:00 135.0
MASTEK 2015-06-11 09:15:00 447.5
MASTEK 2015-06-12 09:15:00 150.0
JSL 2015-11-18 09:15:00 59.9
JSL 2015-11-19 09:15:00 21.0
PCJEWELLER 2018-05-02 09:15:00 148.0
PCJEWELLER 2018-05-03 09:15:00 100.65
PNCINFRA 2015-12-31 09:15:00 537.45
PNCINFRA 2016-01-04 09:15:00 108.2

The same anomaly exists in 5-minute candles also. Please let me know how to solve this problem. The issue might be due to stock split.
  • meeashok
    meeashok
    Here are few more anomalies in 5minute data, 9:15 open values are different in day candle compare to 5-minute candles
    symbol date day_candle_open 5minute_open
    47 INFY 2015-06-12 09:15:00 501.25 1002.95
    75 MOTHERSUMI 2015-07-22 09:15:00 156.89 235.25
    125 CADILAHC 2015-10-05 09:15:00 423.00 2115.25
    626 BAJAJFINSV 2017-10-18 09:15:00 5379.80 4827.10
    64 FEDERALBNK 2015-07-07 09:15:00 78.43 156.75
    112 BEL 2015-09-11 09:15:00 105.00 314.09
    118 COLPAL 2015-09-22 09:15:00 987.00 1973.95
    72 AUROPHARMA 2015-07-17 09:15:00 762.50 1525.00
    811 NIITTECH 2018-07-17 09:15:00 1131.35 1022.00
    126 BATAINDIA 2015-10-06 09:15:00 546.50 1093.00
    118 DIVISLAB 2015-09-22 09:15:00 1120.00 2241.00
    64 KOTAKBANK 2015-07-07 09:15:00 724.98 1448.00
    209 IDFCFIRSTB 2016-02-09 09:15:00 45.00 52.00
  • rakeshr
    rakeshr
    @meeashok
    We checked for above scrips for the mentioned time,it has gone through Spin off corporate action.
    And we adjust only for split and bonus corporate action.
  • meeashok
    meeashok
    Hey Rakesh,

    Is it possible to adjust it for Spin-off corporate action also? Values in 5-minute candles and day candles should match.
  • sujith
    sujith
    I am afraid we can't do that. You can do it at your end before consuming the data.
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