Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

Brokers OHLC charts/data Mismatch and Stoploss / Limit Orders got executed wrongly

3 min read

“I placed a stop-loss/Limit order and the order got executed but the price not traded in my trading terminal / Brokers Charts/ Google Finance / Yahoo Finance Charts / Amibroker / Ninjatrader charts?

How possibly it could happen? Does the broker often trigger the stop loss of their clients?

This is the routine & frequent complaint brokers receive from their clients. If you have such a complaint then the answer lies in the way Indian exchanges sending data to the brokers and data vendors/websites.

Word of Caution: Article is bit technical, read further only if you are really curious to know about the reasons which this issue happens.

Indian Exchanges provides free Level 2 access to its members (Brokers/). Level 2 data contains the Last traded price, Top 5 Bid x Ask levels from the orderbook. The complete depth of the exchange orderbook is not exposed and currently, Level 2 data is restricted only up to 5 levels (depth of the market). Some brokers even provide Level 3 data to their premium clients to identify liquidity pools for their premium customers.

And Level 1 data that most of the data vendors/Websites use primarily gets only LTP, Bid Price, Bid Qty, Ask Price, ASK Qty only for the first level in the orderbook.

Both Level 1 and Level 2 data which is sent in realtime by the Indian Exchanges are not a real tick data instead they send consolidated 1-second data feed for Level 1 (snapshot data) and every broker in the country to receive snapshot Level 2/Level 3 data (consolidated data) which updates 2-4 every second (But not reports all the ticks).

A Tick is generated by the exchange whenever there is a change in LTP price or any order cancellations/order modifications are done in the orderbook it will be reported in the form of Tick data. Which exchange call it as a TBT feed (tick by tick data feed). And every second gigantic amount of ticks are generated every second which is humongous data to transmit over the internet in realtime

Currently, TBT feed is accessible only by the High-frequency trading firms where their servers are colocated to the exchange server to tap and process the data faster to execute their low latency trading strategies.

Though most of the International Exchanges charge their members for broadcasting their data to their clients.

Lucky you! you don’t need to pay not even a penny to the exchange which you receive in your broker IBT terminal.

So there are three possibilities which the OHLC data could be mismatching and your stoploss got triggered.

1)Exchange Misses the Tick: Since exchange generates millions of ticks every second. Some of the ticks might be failed to capture in their snapshot data(Level 1, Level 2, Level 3) which is sent to the brokers/datavendors/websites which resulted in a high and low mismatch on your intraday charts. This is a very rare scenario in this case every broker/vendors/websites failed to receive that missed quotes/LTP price

2)Poor Internet Bandwidth or Poor Platform Design: Possibly your internet bandwidth has gone slow and at times it would have fluctuated in that case your broker terminal failed to capture it in your charts. However charting platform like Amibroker has capabilities of auto-rebackfilling any missed ticks (Level 1) data which you receive in your charting platform. And most of the other platforms and broker platforms often are not designed to auto rebackfill (Poor application design though).

3)Poor Data Processing at Brokers end : Poor data dusting from the brokers server end when the exchange transmits zero tick data which is very critical at times to get the extreme highs/lows correct.

What is a Zero tick data?

Exchange generates zero ticks (zero volume with LTP) whenever bid price, bid qty, ask price, ask qty is changed and very rarely exchanges send zero tick data whenever a particular instrument experience high intraday volatility at the extreme day high or day low (which is very common in Nifty and Bank Nifty futures and possibly in most of the instruments too). Such Extreme volatility with faster price action makes the exchange to miss the correct volumes in their consolidated snapshot quote and instead trade update is sent with Zero Tick to that OHLC values (intraday charts) matches with their candle high/low if auto-backfill is enabled in Brokers/Trading Analysis platform.

Some of the brokers who are filtering those zero tick data during their data dusting process often miss such extreme high/extreme low. Though this issue is not with the data vendors and the quality of the data are taken care of by most of the Authorized Indian Data vendors.

Conclusion

If your Stoploss order/Limit Order is getting triggered then it means your orders got executed by the exchange can be reconfirmed on the NSE Trade verification module within 5 days from when it was executed and if your charts/Live quotes are not showing up then possibly it is not the brokers issue if proper data filtering is done at their side and neither the Data vendors issue and it is primarily because of the consolidated snapshot data which failed to capture such extreme high/low ticks at a millisecond interval.

So stop complaining about these issues to the broker/exchange or in social media. Yeh, I agree at times these kinds of trading executions often result in bad trading decisions and often end up with confusion.

Instead of complaining, learn how the data infrastructure in Indian Exchange works, understand the technical limitations and stick to reality.

Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

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