Below is recent Nifty Fut Data I got in backtesting for two Dates, The close value in your Databse is different from
actual Close Data. I have only checked for Nifty, not sure about other tickers.
Can you pls check as the close value has significant mismatch from actual value.
BTW OLH values matches with the actual Nifty Data.
Symbol = 'NIFTY-I'
2021-09-07 "1d" :
close 17369.10 (Actual : 17375.8)
high 17449.95
low 17300.00
open 17372.10
Name: 2021-09-07 00:00:00+00:00, dtype: float64
2021-09-08:
close 17384.60 (Actual : 17370)
high 17401.10
low 17276.25
open 17397.90
Name: 2021-09-08 00:00:00+00:00, dtype: float64
Hi Siddharth
This is not a mismatch. The actual price you see for the daily timeframe on NSE is a weighted average price of the last 30 minutes of a trading day.
Therefore, for 2021-09-07, while 17375.80 is the weighted average price, 17369.10 is the last traded price or the LTP. If you are using any charting platform, compare the close price of the candle on the daily timeframe chart with the close price of the last candle on the intraday timeframe.
Now, while backtesting it is only prudent to consider the prices that were traded. So, even if you pull the prices for "1d" on Blueshift, you will get the LTP and not the weighted average price.
Hope this helps.