In today’s digital age, choosing the right online trading platform is essential for both traders and investors. To make an informed decision, we dove into the historical Open, High, Low, Close (OHLC) data for two leading brokers: Fyers and Zerodha.
Our analysis, covering the period from January 1, 2018, to May 30, 2023, seeks to uncover trends, patterns, and disparities that offer a clearer understanding of their performance.
The dataset we’re reviewing spans over five years, beginning at 9:15 AM on January 1, 2018, and concluding at 3:29 PM on May 30, 2023.
Purpose of Analysis
For algorithmic traders, understanding which data point (open, low, high, or close) to rely upon is vital. When backtesting, even a slight edge can alter the return curve significantly.
We compared the OHLC data from both brokers. For instance, at 09:19:00 on 2018-01-01, we evaluated:
The difference between Fyers and zerodha opening price and similarly, for High, Low, and Close prices.
This process was repeated for every minute over the course of five years and we got the difference of OHLC data deviating from the zero.
Below we plot all the OHLC difference between both broker:
Using the derived differences in open, high, low, and close prices, we computed the mean, median, and mode values for all the OHLC data.
- Mean Differences
Open: The average difference in opening prices is roughly 0.0018, indicating closely matched opening prices between the two brokers.
High: A slightly larger average difference of approximately 0.1051 in the highest prices shows a noticeable discrepancy between the two brokers.
Low: An average difference of about -0.1139 signifies that Zerodha typically offers slightly lower prices than Fyers.
Close: The average difference in closing prices is approximately 0.0019, revealing that the closing prices of the two brokers are almost identical.
- Median Differences
Open, High, Low, Close: For each category, the median difference is 0.0. This means the central value among all differences is zero, indicating that frequently, there’s no distinction between the two brokers.
- Mode Differences:
Open, High, Low, Close: A mode of 0.0 for all categories suggests that the most recurrent difference between Fyers and Zerodha in these metrics is nil.
Our examination reveals that for a considerable period, Fyers and Zerodha exhibit similar OHLC prices. Nevertheless, there are occasional deviations, particularly in the High and Low categories, which traders should consider when making decisions.
P.s. You can get the python code for the complete analysis here.