OHLC data in market depth window will never exactly match with the live daily candle OHLC because of a slightly technical reason.
Candles on the chart are formed using all the live ticks or LTP the platform receives from the exchange. As you can guess, there could be thousands of trades happening every second, but we will receive LTP of just 1 to 3 trades per second. The OHLC for candles (1min, 1 hr, 1 day, whatever) on the chart are formed using these ticks.
On the market depth on the other hand daily OHLC is streamed directly by the exchange. Since it is streamed directly by the exchange it would be collating all the thousands of trades that has happened on the exchange. So yes, for daily candles, the market depth OHLC is more accurate then what is shown on the chart.
The reason we can’t use this market depth data to form candles instead of collating ticks that we receive is because this method can’t be used for minute or hourly time frame. Market depth just streams daily OHLC. What we do though is that at end of day, just for daily candles, we import the OHLC data from market depth (using exchange bhav copy, which has same data). So if you check a daily candle at 3.30 pm, and then check the same candle at 1 am in the night, you will maybe see a slight difference.
Btw, when looking at daily candles, it also makes sense to maybe look at min/hourly candles. There could be many stray ticks during market opening/closing which may skew the candles completely.
Also suggest you to read these posts:
- Why does two charts of the same timeframe look different on the same platform?
- Why does the same technical charts for the same stock from NSE Tame, Google finance, Yahoo finance, Amibroker, not match?