Some observations on the NIFTY-I 'tick' data of 2019.02.01 from GDFL and TrueData provided by
@TradeOptions and
@bpr :
Content
- TrueData has Date, Time, LTP, LTQ columns. Contains trade records only, with count: 18019.
- GDFL additionally has BuyPrice, BuyQty, SellPrice, SellQty, Open Interest. As a result, rows with 0 LTQ exist. Total records: 21824. Count of trade records: 18004.
A visual track of various kinds of differences is shown. While a count of other individual differences (total 2664 groups; a group may be 1 or more rows) has not been done, they are highlit below. In the images, GDFL is to the left, TrueData is to the right.
TimeStamp
The illustrated difference are Time jitter (very few) and duplicate time stamps (only in TD). The jitter difference shows Time as 09:23:22 in GDFL and 09:23:21 in TD with the other time record missing in both. TD has quite a few duplicate time-stamps; I guess that in AmiBroker the last duplicate would overwrite the previous resulting in lost data.
Price (LTP)
These differences tend to occur in clusters, typically near high volumes. Perhaps, the highest one noticed wa at 09:18:14 where GDFL shows 10887.55 and TD shows 10894.00. Generally, the differences are few and small.
Volume (LTQ)
Surprisingly, no differences were noticed here. Except for the spurious row in TD with a LTQ of 1 at open, zero differences come to notice in individual records.
Day Open / High / Low / Close
NSE data has the OHL values at 10870.00, 11023.20, 10835.10.
TD has messy open data. Strangely, import to Ami, shows a value of 10870 (volume 1). For all other duplicate timestamps, the price/volume of the later quote is taken. This multiple time-stamp open data occurs in TD's BankNifty data as well.
The Day High is captured by TD at 13:04:38. The corresponding price in GDFL is 11020.10.
The Day Low of 10835.10 at 14:32:24 is again captured by TD but not by GDFL.
The Day LTP of 10918.00 is captured by both GDFL and TD.
Minor High/Lows
Similar clusters of mismatches tend to happen at minor highs and lows. An example a minor low at 14:10:40s is shown below. It is difficult to judge which value is more accurate.
Total contracts traded for day
NSE shows 250,728
GDFL shows 250,705 (250,728 in M1 data)
TD shows 250728.
@bpr : could you please check how open and duplicate time-stamp records reflect in your AmiBroker, comparing live feed and eod 'tick' data.