Issue in Building Strike wise data from Historical Rolling Options data(ATM Wise data)

APIs, Automation, Algos & Code
1

Hi Team,

In one of the Algo trading videos conducted by Imran Sir on Historical Options data, it was mentioned that we can create strike price wise data from ATM wise data fetched from Historical Rolling Options API endPoint.

But i am facing issue in it. I have downloaded 5 min data. Within that when ever spot price is hovering in between two strike prices the candle data is getting picked from both the strike prices from current spot price and data is tagged to any one strike price. For example

During a 5-minute candle where spot price crossed 24,025:

  • For ATM-2: Dhan started the 5-minute candle sampling from 23,950 (priced at ~83) and ended the candle on 23,900 (priced at ~128). Dhan then tagged the entire candle with strike 23,900.0

Because of this behaviour the separation of data based on strike price is inaccurate. As a strike is tagged to data picked from two strike prices candle data. The chart created from this data has noisy candles, gap up’s and Gap down’s for no reason.

Please let me know If there is any other way to create strike price wise data ???