Anyone running algos on Indian stock options (not just index)? The data quality is terrible

everyone talks about nifty and banknifty options for algo trading but i'm trying to build strategies on stock options (reliance, HDFC bank, infy etc.) and the data quality is making it nearly impossible.

specific problems:

  • bid ask spreads are insane on most stock options. 5-15 points is common even on liquid names. makes any mean reversion or premium selling strategy very difficult.
  • LTP data is stale. some strikes don't trade for minutes at a time. my algo thinks nothing is happening but in reality the underlying has moved 2% and the option is just illiquid.
  • greeks computed from stale LTP are garbage. delta shows 0.3 but the real delta based on the underlying move is clearly higher.
  • OI data updates seem laggy compared to index options.

is this just a market microstructure problem that no broker can fix? or do some broker data feeds handle stock options better than others?

I know Nubra and Dhan streams are full-depth (best 20). wondering if using bid/ask mid price from depth data instead of LTP would solve the staleness issue at least partially.

anyone successfully running automated strategies on stock options in india?

Posted Apr 8, 2026, 1:03 PM UTC

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