Couple of questions on historical data . I am thinking of switching from my current data provider to zerodha , but i need following answers to make a decision :
1) I am looking for 30min interval data . I will need open,high,low,close of the 30min interval (not the days' high low, but of the respective interval) Is this available. ?
2) Say , i query for 30min interval data at 10:31 AM . The data is guranteed to be available for the period of 10.00 AM to 10.30 AM . In other words , what is the latency expected before the 30min interval data of previous interval is available?
3) What is the rate limiting on the fetching historical data ? I would be looking to fetch historical data for 1000 stocks every 30min interval in a span of 2 minutes.
4) Is the rate limiting on historical data is clubbed with Order placement related API calls ?
5) Do you have the option of fetching as a csv file/json data of all symbols with a single API request for a given 30min interval (the csv file/json data would have 1 entry per symbol in this case of a single interval and hence is more efficient)?
6) I understand you do the corporate action adjustments only over the weekend . In that case we will have to adjust ourselves for rest of the corporate actions . What is the way to know untill what 'ex-dt" have you applied corporate actions adjustments already . I dont want to implement the crude ways of comparing previous close and your quoted price etc to determine this . Preferably a separate api call or a last-corp-action-adjusted_date specified along each returned data is preferable. Alternatively , you could provide the option of selecting a fully non-adjusted data and leave the adjustment to user. Your current system of being uncertain about a data is adjusted or not leaves us with implementation complexity and uncertainity.
BTW , since NSE provides all details of forth-coming corporate actions , you should be able to do it on the fly instead of updating only over the weekend.
7)What kinds of corpactions are adjusted for . viz , split,bonus,reverse-split ?
8) How reliable is the historical data availability ? Is the server decoupled from servers implementing other service components implementations which could get heavily loaded on a highly volatile day , like OMS part etc while the load on historical data access is generally expected to be uniform and predictable
If above questions have a different answer w.r.t the upcoming v3.0 release , please specify .
1) I am looking for 30min interval data . I will need open,high,low,close of the 30min interval (not the days' high low, but of the respective interval) Is this available. ?
Yes, you will get OHLC of that interval.
2) Say , i query for 30min interval data at 10:31 AM . The data is guranteed to be available for the period of 10.00 AM to 10.30 AM . In other words , what is the latency expected before the 30min interval data of previous interval is available?
Yes, at 10:31 you can expect 10:00 candle. It might be delayed by 10 to 20 seconds because it is a database write operation which will be happening for all the scrips.
3) What is the rate limiting on the fetching historical data ? I would be looking to fetch historical data for 1000 stocks every 30min interval in a span of 2 minutes.
4) Is the rate limiting on historical data is clubbed with Order placement related API calls ?
All HTTP calls on Kite Connect are limited to 3. We don't differentiate between historical API call and order API call.
5) Do you have the option of fetching as a csv file/json data of all symbols with a single API request for a given 30min interval (the csv file/json data would have 1 entry per symbol in this case of a single interval and hence is more efficient)?
You can expect the response in JSON format.
6) I understand you do the corporate action adjustments only over the weekend . In that case we will have to adjust ourselves for rest of the corporate actions . What is the way to know untill what 'ex-dt" have you applied corporate actions adjustments already . I dont want to implement the crude ways of comparing previous close and your quoted price etc to determine this . Preferably a separate api call or a last-corp-action-adjusted_date specified along each returned data is preferable. Alternatively , you could provide the option of selecting a fully non-adjusted data and leave the adjustment to user. Your current system of being uncertain about a data is adjusted or not leaves us with implementation complexity and uncertainity.
BTW , since NSE provides all details of forth-coming corporate actions , you should be able to do it on the fly instead of updating only over the weekend.
I am afraid, we can't apply corporate actions on the fly. Once our new back office is live, we have plans of giving out corporate actions API.
7)What kinds of corpactions are adjusted for . viz , split,bonus,reverse-split ?
We handle split and bonus for equity segment.
8) How reliable is the historical data availability ? Is the server decoupled from servers implementing other service components implementations which could get heavily loaded on a highly volatile day , like OMS part etc while the load on historical data access is generally expected to be uniform and predictable
The historical data server is independent of other servers.
Thanks Sujith for the quick reply. Two more clarifications : 5) Do you have the option of fetching as a csv file/json data of all symbols with a single API request for a given 30min interval (the csv file/json data would have 1 entry per symbol in this case of a single interval and hence is more efficient)? [Sujith] You can expect the response in JSON format.
Question : Did you also mean that data of all symbols could be fetched using single API access ?
Regarding question (6) : Currently, what is the recommended fool proof way of determining if a historical data is corp-action adjusted or not and determine upto what date the corp-action is adjusted ?
Hi @sudhirshettyk, You will have to make separate API calls for each scrip and you can fetch historical data in the following intervals, All intervals are in days,
Thanks Sujith . Then it is more prudent for me to wait until either one of the following is available in your new release : a) Raw unadjusted data + optionally corpaction info . We, the users, can adjust ourselves OR b) Corpaction adjusted data + date of last applied corp-action ex-dt. OR c) Corpaction applied at your end every day end and hence guaranteed that data is always corp adjusted.
Once our new back office is live, we have plans of giving out corporate actions API. We handle split and bonus for equity segment. The historical data server is independent of other servers.
Two more clarifications :
5) Do you have the option of fetching as a csv file/json data of all symbols with a single API request for a given 30min interval (the csv file/json data would have 1 entry per symbol in this case of a single interval and hence is more efficient)?
[Sujith] You can expect the response in JSON format.
Question : Did you also mean that data of all symbols could be fetched using single API access ?
Regarding question (6) :
Currently, what is the recommended fool proof way of determining if a historical data is corp-action adjusted or not and determine upto what date the corp-action is adjusted ?
Please help me with the answers once you find some time.
Regards,
Sudhir
You will have to make separate API calls for each scrip and you can fetch historical data in the following intervals,
All intervals are in days, We apply corporate actions on data till 2004. I am afraid as of now, there is no way to determine if corporate action is applied for a scrip or not.
a) Raw unadjusted data + optionally corpaction info . We, the users, can adjust ourselves
OR
b) Corpaction adjusted data + date of last applied corp-action ex-dt.
OR
c) Corpaction applied at your end every day end and hence guaranteed that data is always corp adjusted.
You can close the thread.