I am collecting options data using websocket client, and we do get multiple ticks for a symbol with in a second. During this scenario, I have following questions, 1) which tick information, I need to consider as that seconds tick value, is it the first one or last one ? 2) There is a difference between last_trade_time & exchange_timestamp in tick data. To form a candle, which time is considered in Zerodha ? 3) As of now, I am using last_trade_time & last unique tick (if there are multiple with in same second) to create combination candles, final tick volume is matching nearly the the total volume but OHLC is not, Can you share the parameters to use to create a combined candle OHLC.
For creating combined candle, instead of joining OHLC of two strikes in minute candle, I am calculating LTP of every second of both strikes and creating OHLC candle, in case, if a second is missing PE LTP but only got CE LTP then I am using previous second PE LTP as price.
