Motherson sumi Open 304.8 in streaming API and 304.55 in candle API
Let me know which one is correct.
GENERALLY, Is this diff expected in streaming and candle API ? If yes which Day "Day Open" we should trust ... "Day Open" from streaming API or "Day Open" from candle API ?
------------------------------------- SIMILARLY, Which "Day High(so far)", "Day Low(so far)" we should trust ... one from streaming API or one from candle API ?
Historical API data (OHLC) is formed using all ticks captured from the start of the day, OHLC for every 1 min. Had explained this earlier here. End of the day, we use the exchange bhav copy and match the exchange OHLC with Historical data OHLC for end of day.
The streaming API OHLC for the day is sent directly by the exchange and hence the cleanest data. So best to use this.
OK Thanks @nithin , Can u please clarify IF "SO FAR DAY OHLCV present in tick data" is also sent by Exchange or its calculated on your end ?
Please correct my understanding, Till now I was thinking only 1) last price 2) last traded volume 3) last market depth only sent by exchange AND kite server calculates "SO FAR DAY OHLCV present in tick data"
But from your post seems like even "SO FAR DAY OHLCV present in tick data" is calculated and sent by NSE exchange directly ... Is that correct ?
This is what Nitin said "So if I am looking at a 5 min chart, there could have been thousands of ticks in that 5 mins, but our charting platform would be able to recognize only a few hundred. And using those few hundred ticks, 1 Open, High, low and close points are chosen to plot the candle. So these few hundred points recognized, and the 4 points (OHLC) could very easily be different from one platform to another. "
Candle API minute volume calculation method ?
Since 1-minute data is not calculated using all tick data in that minute, can u please clarify how you calculate volume for that 1-minute using some ticks ?
I guess calculating volume from some ticks of that 1-minute should give totally wrong volume ?
Do u use something like "Volume of day from Exchange at time X(like 10:12:00am) - Volume of day from Exchange at time (X - 1)(like 10:11:00am)" to calculate volume of minute-X
@sameer Im trying understand your problem because I'm in same boat too.
How many Ticks you are getting in a minute per Symbol and for how many symbols you subscribed?
And you mentioned above "our charting platform would be able to recognize only a few hundred" what it means ? .Does it means even though exchange returns thousand of ticks, our systems are not quick enough to capture all those ? if it is YES what data base are you using to store data ?
Volume data is a continuous stream. Exchange sends cumulative volume. So while dumping a candle data to database, we subtract volume till (x-1) minute from x minute to get volume in that minute.
I am not using streaming for continuous reading, I am just using it as snapshot one time read as candle API does not provide multiple stocks read in one call
The streaming API OHLC for the day is sent directly by the exchange and hence the cleanest data. So best to use this.
Please correct my understanding, Till now I was thinking only
1) last price
2) last traded volume
3) last market depth
only sent by exchange
AND kite server calculates "SO FAR DAY OHLCV present in tick data"
But from your post seems like even "SO FAR DAY OHLCV present in tick data" is calculated and sent by NSE exchange directly ... Is that correct ?
OHLCV in websocket is sent from exchange, OHLCV in candles API data are computed.
This is what Nitin said
"So if I am looking at a 5 min chart, there could have been thousands of ticks in that 5 mins, but our charting platform would be able to recognize only a few hundred. And using those few hundred ticks, 1 Open, High, low and close points are chosen to plot the candle. So these few hundred points recognized, and the 4 points (OHLC) could very easily be different from one platform to another.
"
Candle API minute volume calculation method ?
Since 1-minute data is not calculated using all tick data in that minute, can u please clarify how you calculate volume for that 1-minute using some ticks ?
I guess calculating volume from some ticks of that 1-minute should give totally wrong volume ?
Do u use something like
"Volume of day from Exchange at time X(like 10:12:00am) - Volume of day from Exchange at time (X - 1)(like 10:11:00am)"
to calculate volume of minute-X
Im trying understand your problem because I'm in same boat too.
How many Ticks you are getting in a minute per Symbol and for how many symbols you subscribed?
And you mentioned above "our charting platform would be able to recognize only a few hundred" what it means ? .Does it means even though exchange returns thousand of ticks, our systems are not quick enough to capture all those ? if it is YES what data base are you using to store data ?
Regards,
Naveen
Volume data is a continuous stream. Exchange sends cumulative volume. So while dumping a candle data to database, we subtract volume till (x-1) minute from x minute to get volume in that minute.
Please read linke shared by Nithin here
https://kite.trade/forum/discussion/755/is-historic-data-accurate
I am not using streaming for continuous reading, I am just using it as snapshot one time read as candle API does not provide multiple stocks read in one call
Thanks ,for the reply.My view was something else.
Regards,
Naveen