# ks_unni

ks_unni
Joined
Visits
51
Last Active
Roles
Member

• Volume of the minute = volume of last tick - volume of first tick. As per this calculation, first 2 minutes of the day are significantly different. rest of the day it is almost similar. please see the image below Since my strategy is based on vwap,…
Comment by ks_unni May 2021
• not capturing all ticks. just to ask this question.. I dumped it. I just need the logic to calculate volume of a 1 minute, or 5 minute which is same or similar to the historical data of same period.. logic for 1 minute is enough, since 5 min volume …
Comment by ks_unni May 2021
• Here is the first minute tick data for RELIANCE.. and the same minutes, 1 minute ohlc retried through historical data. you can see that the total of volume differnces during 9:15 is 96138 and the volume got for 9:15 through historical data is 13…
Comment by ks_unni May 2021
• I'll comment after analysing the initial ticks tomorrow. unfortunately today is a holiday. I also think someone from zerodha , should look into this discussion, because there must be some straight forward way to fetch the volume at any time of the d…
Comment by ks_unni May 2021
• two more questions, if the 9:15:00 tick contains cumulative volume of pre-market minutes, how do we extract that particular ticks volume? what do we subtract? if I start my script for web socket streaming by the middle of the day, say at 11am or af…
Comment by ks_unni May 2021
• Thanks @RED , This code is being executed from a worker thread. From the websockets, I simply puts the tick to a queue and worker thread separates the tick for each instruments and calls the function of each instrument object.. So, it works fine wi…
Comment by ks_unni May 2021
• Ok @RED, Thanks.. I read your answer again and I think I understood about the cumulative volume, so what about the very first tick get at 9:15:00 Does that contain the previous days last tick volume or is it just the volume of that second?
Comment by ks_unni May 2021
• I have python class that represents each instruments.. I'm separating ticks for each instruments and pass to this class.. and here is the code that makes my ohlc.. everything is working fine in this code except volume.. please help me.. def inse…
Comment by ks_unni May 2021
• I'm not resampling 1min to 5min. I'm resampling ticks to 5min, I'm taking maximum of "volume" from ticks during each 5 min. example: for 9:15 candle -> max of 9:15:00, 9:15:01, 9:15:02... 9:19:58, 9:19:59 and its a too big value than it is suppo…
Comment by ks_unni May 2021
• Sorry!!.. it was my problem.. access token was generated in a different folder..
Comment by ks_unni April 2021
• Hi Sujith, I'm getting status code 403 today.. sending my api_key and access token via private message..
Comment by ks_unni April 2021
• Now I'm not getting that error to check the status code.. I will contact you with status code if it appears again. Thank you.
Comment by ks_unni April 2021
• Now its working without any change in code.. Strange behavior.. I didn't change the code nor I created any new access token..
Comment by ks_unni April 2021