Delayed / Missing Websocket data

[karanag]

Hi Team,

I have been having issues with missing/delayed data. So I setup a simple script to fetch options prices from websocket and log them. The script is below.

Attached screenshot shows my console logs.

I have marked in red, quotes that are delayed. As you can see, some of them are significantly delayed like 3 to 4 minutes which is a rather long time. Ideally, at say 12.58.XX (XX being seconds), we should get quote for 12.57.00 candle for all subscribed instruments. Preferably within the first 5-10 seconds.

How can I mitigate this issue? I tried running it in parallel using threads but that doesn't improve it either.
For 5 minute quotes, data gets delayed by 4-6 minutes, so the data we get is sometimes 1 entire candle late.

Please advise, as this is causing errors in my signal generation which is messing up my trading activity.

# Initialize keys
api_key = "************************"
api_secret = "************************"
api_session = "************************"

# Import Libraries
from datetime import datetime
import time
from breeze_connect import BreezeConnect
import logging

# Configure logging
logging.basicConfig(
    level=logging.INFO,
    format='%(asctime)s - %(message)s',
    datefmt='%Y-%m-%d %H:%M:%S'
)

# Setup API keys
breeze = BreezeConnect(api_key=api_key)
breeze.generate_session(api_secret=api_secret, session_token=api_session)

# Define strike ranges for calls and puts
call_strikes = list(range(23600, 24400, 50))
put_strikes = list(range(23600, 24400, 50))


# Callback to handle received ticks
def on_ticks(ticks):
    # Log required fields: datetime, strike_price, right
    logging.info(f"Datetime: {ticks.get('datetime')}, Strike Price: {ticks.get('strike_price')}, Right: {ticks.get('right_type')}")

# Main Function
if __name__ == "__main__":
    print("Starting Execution \n")

    # Connect to WebSocket
    breeze.ws_connect()
    print("Connected to WebSocket")

    # Assign the on_ticks callback
    breeze.on_ticks = on_ticks

    # Create subscriptions for call and put options
    subscriptions = []
    for strike_price in call_strikes:
        subscriptions.append({
            "exchange_code": "NFO",
            "stock_code": "NIFTY",
            "product_type": "options",
            "expiry_date": datetime.strftime(datetime.now(), '%Y-%m-%d'),  # Replace with your expiry logic
            "strike_price": str(strike_price),
            "right": "call",
            "interval": "1minute"
        })

    for strike_price in put_strikes:
        subscriptions.append({
            "exchange_code": "NFO",
            "stock_code": "NIFTY",
            "product_type": "options",
            "expiry_date": datetime.strftime(datetime.now(), '%Y-%m-%d'),  # Replace with your expiry logic
            "strike_price": str(strike_price),
            "right": "put",
            "interval": "1minute"
        })
   

    # Subscribe to each feed
    for sub in subscriptions:
        answer = breeze.subscribe_feeds(
            exchange_code="NFO",
            stock_code="NIFTY",
            product_type="options",
            expiry_date="05-Dec-2024",
            strike_price=sub["strike_price"],
            right=sub["right"],
            interval="1minute"
        )
        logging.info(f"Subscribed: {answer}")

    # Keep the script running to receive data
    try:
        while True:
            time.sleep(1)
    except KeyboardInterrupt:
        print("Execution stopped.")

[karanag]

So shall I expect a response or spend my weekend exploring their API? I have been an ICICI customer since 2004 so not in a mood to shift unless forced to...