Hey, i have nifty and banknifty options 1 minute data from 2016 to 2022
Hi @rajnivp
actually I checked your data. it has very less number of strike prices, and also it do not have consistent strike prices. I mean if on 12:00 there are 30 strikes available then on very next minute the number of strikes gets decreased or gets increased.
I need consistent strikes thorugh out the trading session at least. if there are 30 strikes then all the 30 strikes should be available till the entire trading day
It’s because sometimes no trade happens in certain illiquid strikes. so for ex. at particular minute trade happened in 30 strikes then next minute there was activity in few more strikes then you will see more strikes next minute but if out of 30 there was not trades in 3-4 strikes at next minutes then you’ll only see 26-27 strikes next minute.