@fury1984 : No, I understand that the duration difference in two consecutive ticks could be anything. My question is this -
Let's say you historical data api in 1 minute interval, you will get the ohlc values calculated over every 1 min duration. Similarly, I want to know what that duration is while calculating the ohlc in the websocket tick response.
@bingo As @vivek answered in the below question, the ticks are directly streamed from exchange and they do no contain the timestamp. So I think it is not possible to exactly know the interval of each tick duration.
@fury1984 : I don't think my question got answered completely. Does it mean that the 'ohlc' in websocket tick response is calculated over the two latest ticks?
@bingo The following are the ticks I received for RELIANCE. Observe the ohlc data. It is constant over these ticks and was constant for more than half hour that I gathered ticks. The reason is the ohlc in each tick is the ohlc of the entire day not for that tick time period alone. If you want to know the OHLC over the last minute, you have to go through each tick and look at the last_traded_price and mark the corresponding open, high, low and close values. Hope this clarifies your doubt.
@vivek@fury1984 : Adding to my previous post, if there has been no quantity traded since the start of the market day, what will be the value of `open` in websocket tick response?
@vivek@fury1984 : Adding to my previous post, if there has been no quantity traded since the start of the market day, what will be the value of `open` in websocket tick response?
Let's say you historical data api in 1 minute interval, you will get the ohlc values calculated over every 1 min duration. Similarly, I want to know what that duration is while calculating the ohlc in the websocket tick response.
https://kite.trade/forum/discussion/573/first-ticks-of-the-day#latest
[{'sell_quantity': 430136, 'ohlc': {'low': 1064.7, 'close': 1087.55, 'open': 1097.0, 'high': 1097.0}, 'tradeable': True, 'mode': 'quote', 'instrument_token': 738561, 'buy_quantity': 296303, 'average_price': 1077.56, 'change': -1.4803917061284455, 'last_price': 1071.45, 'last_quantity': 25, 'depth': {'sell': [{'orders': 458752, 'price': 1071.65, 'quantity': 948}, {'orders': 393216, 'price': 1071.7, 'quantity': 1635}, {'orders': 196608, 'price': 1071.75, 'quantity': 717}, {'orders': 262144, 'price': 1071.8, 'quantity': 1105}, {'orders': 458752, 'price': 1071.85, 'quantity': 1144}], 'buy': [{'orders': 131072, 'price': 1071.0, 'quantity': 161}, {'orders': 65536, 'price': 1070.95, 'quantity': 500}, {'orders': 65536, 'price': 1070.9, 'quantity': 266}, {'orders': 131072, 'price': 1070.8, 'quantity': 16}, {'orders': 196608, 'price': 1070.75, 'quantity': 301}]}, 'volume': 3883262}]
[{'sell_quantity': 430538, 'ohlc': {'low': 1064.7, 'close': 1087.55, 'open': 1097.0, 'high': 1097.0}, 'tradeable': True, 'mode': 'quote', 'instrument_token': 738561, 'buy_quantity': 297962, 'average_price': 1077.56, 'change': -1.4849891958990267, 'last_price': 1071.4, 'last_quantity': 20, 'depth': {'sell': [{'orders': 65536, 'price': 1071.55, 'quantity': 8}, {'orders': 393216, 'price': 1071.65, 'quantity': 816}, {'orders': 196608, 'price': 1071.7, 'quantity': 1402}, {'orders': 196608, 'price': 1071.75, 'quantity': 717}, {'orders': 65536, 'price': 1071.8, 'quantity': 500}], 'buy': [{'orders': 65536, 'price': 1071.4, 'quantity': 323}, {'orders': 65536, 'price': 1071.05, 'quantity': 266}, {'orders': 262144, 'price': 1070.8, 'quantity': 217}, {'orders': 262144, 'price': 1070.75, 'quantity': 746}, {'orders': 131072, 'price': 1070.7, 'quantity': 336}]}, 'volume': 3883464}]
[{'sell_quantity': 431038, 'ohlc': {'low': 1064.7, 'close': 1087.55, 'open': 1097.0, 'high': 1097.0}, 'tradeable': True, 'mode': 'quote', 'instrument_token': 738561, 'buy_quantity': 297962, 'average_price': 1077.56, 'change': -1.4849891958990267, 'last_price': 1071.4, 'last_quantity': 20, 'depth': {'sell': [{'orders': 65536, 'price': 1071.55, 'quantity': 8}, {'orders': 65536, 'price': 1071.6, 'quantity': 500}, {'orders': 393216, 'price': 1071.65, 'quantity': 816}, {'orders': 65536, 'price': 1071.7, 'quantity': 402}, {'orders': 327680, 'price': 1071.75, 'quantity': 1267}], 'buy': [{'orders': 65536, 'price': 1071.4, 'quantity': 323}, {'orders': 65536, 'price': 1071.05, 'quantity': 266}, {'orders': 262144, 'price': 1070.8, 'quantity': 217}, {'orders': 262144, 'price': 1070.75, 'quantity': 746}, {'orders': 65536, 'price': 1070.65, 'quantity': 94}]}, 'volume': 3883464}]
What about -