Guides

Practical notes for people who backtest with Indian market data. Every example runs on our free sample files.

• NIFTY vs SENSEX options data: what changes when you test on both

  Strike steps, expiry weekdays, index levels and liquidity differ between NIFTY and SENSEX options. A checklist for running one strategy on both indices without silent errors.

• Parquet or CSV for market data? How to choose for NIFTY options files

  Why Parquet files are smaller and faster to load than CSV, when CSV still makes sense, and how to read Parquet in pandas, polars, DuckDB and R.

• A practical guide to MCX historical data: contracts, minis, sessions and rolls

  How MCX commodity contracts are organised, why each has a mini, how evening-session bars fit into a trading day, and how to handle contract rolls.

• Rebuilding a historical NIFTY option chain, with implied volatility, from 1-minute data

  Turn 1-minute option bars into the option chain as it stood at any past minute: strikes, prices, volume, open interest, put-call ratio, and implied volatility computed with Black-Scholes.

• Building a continuous NIFTY futures series from monthly contracts

  How to stitch near, next and far month NIFTY futures into one continuous 1-minute series: choosing the roll day, back-adjusting the gaps, and checking the result.

• Backtesting a NIFTY options strategy in pandas with 1-minute data

  A complete, small backtest of an intraday short straddle on NIFTY 1-minute option data: loading files, choosing the strike, entry, exit, costs and a results table.

• Historical options data for research in India: a guide for students and academics

  Indian index options data for theses and papers: what intraday option history is available, how to describe it in a data section, and how to keep results reproducible.

• NIFTY option data for 2020, 2021 and 2022: getting the older years

  Where to get NIFTY option data for 2020 to 2022 at 1-minute, what is different about the older files, and how to join them to recent years.

• A NIFTY options dataset for machine learning: features, labels and leak-free splits

  Using NIFTY options history as a machine learning dataset: turning minute bars into features, labelling without look-ahead, and splitting by time and expiry.

• NSE F&O historical data download for index derivatives: NIFTY options and futures

  What an NSE F&O historical data download covers for index derivatives: NIFTY options and futures at 1-minute, how it differs from end-of-day bhavcopy, and how to load it.

• NIFTY intraday options data download: minute bars for intraday strategy research

  NIFTY intraday options data for strategy research: 1-minute OHLC, volume and open interest from 09:15 to 15:29, with the index and futures for entry signals.

• NIFTY strike-wise historical data download: one strike's full history in a few lines

  Download NIFTY option history strike by strike: pull one strike's minute bars across its whole life, compare neighbouring strikes, and export to CSV.

• Crude oil options historical data on MCX: strikes, expiries and the futures underneath

  MCX crude oil options historical data at 1-minute: how the option files are laid out, why the underlying is the futures contract, and how to pair the two for research.

• MCX crude oil historical data in CSV: column layout, file naming and folder structure

  The CSV format of MCX crude oil 1-minute futures: column by column, how files are named and foldered per contract and day, and how to open, merge and split them for Excel or R.

• BSE options data download: SENSEX and BANKEX in one place

  Download BSE index options data: SENSEX and BANKEX options with futures and the index at 1-minute, how the files differ from NSE, and which pack to pick.

• NIFTY options historical data archive: how a multi-year archive is organised

  A NIFTY options historical data archive from 2020: how the files are laid out by day and expiry, how to index years of data quickly, and how to choose a window.