Accuracy of Data

[shrikantshet]

I am using historical data for backtesting strategies. Corporate actions like splits, affect the price, and every time there is a corporate action, the data needs to be corrected.

Is the data that we get in historical API corrected? If yes,

• From which date is the historical data corrected?

• If there is a stock split today, within what timeframe is the historical data corrected? Will corrected data be available in historical APIs today itself? Or is it available after the next weekend/holiday?

Cc: @admin Since this data is the basis for everyone's strategy, I feel this is a very crucial information.

[shrikantshet]

Also, can you possibly state from which date data is available for different exchanges?

[admin]

Hi @shrikantshet we will get back to you on this after cordinating with the team.

[shrikantshet]

@admin Sure.

Noting my observation here.

For the parameters below:

$parameters = [
            'exchange' => 'NSE',
            'symboltoken' => '1041',
            'interval' => 'ONE_DAY',
            'fromdate' => '2021-04-12 09:15',
            'todate' => '2021-04-16 09:16'
        ];

The response is as below:

{
    "message": "Done",
    "data": {
        "status": true,
        "message": "SUCCESS",
        "errorcode": "",
        "data": [
            [
                "2021-04-13T00:00:00+05:30",
                681,
                702,
                680.9,
                698.5,
                291429
            ],
            [
                "2021-04-15T00:00:00+05:30",
                141,
                149.9,
                135.65,
                143.65,
                2573372
            ],
            [
                "2021-04-16T00:00:00+05:30",
                145.4,
                146.8,
                144.05,
                145,
                1772701
            ]
        ]
    }
}

The drastic rate change is because of split. This example is for Finolex Ind that. This stock was split and hence the API response. If this same stock is viewed in Angel's web application, the rate is as shown in the image below:

So, Angel's software shows a corrected rate, but the historical API does not consider the corporate actions. For any backtesting of strategy, it is necessary that the data we receive has a corrected rate and not the actual rate. This could be as an additional value or in place of the actual values that we're currently getting. However, without the corrected value, historical API's use would be grossly incorrect in practically all cases where there has been a dividend or stock split, which are quite common.

[admin]

Hi @shrikantshet We want sometime to get back to you as we have different vendors for data.Kindly wait till we confirm from the team.

[shrikantshet]

@admin Any update in this regard?

[shrikantshet]

@admin Any update on this?

[admin]

HI @shrikantshet we have asked for this information to the concerned team we will get back to you once we have that.