0 volume reported for 1st hour in the day in hourly OHLC data from yfinance (indian NSE exchange)

[pranay2612]

I am using yfinance to get the stock data for Indian markets (.NS). When i fetch the hourly data, I can see that the volume reported for the first hour of trade in the day is zero. For ex:

import yfinance as yf df = yf.download(tickers='RELIANCE.NS', period='15h', interval='1h')

Running the above snippet gives the volume data as:

                         Adj Close   Volume  

2021-08-05 12:15:00+05:30 2142.550049 0
2021-08-05 13:15:00+05:30 2139.050049 1587356
2021-08-05 14:15:00+05:30 2131.800049 1022093
2021-08-05 15:15:00+05:30 2131.000000 390904
2021-08-06 09:15:00+05:30 2138.100098 0
2021-08-06 10:15:00+05:30 2093.250000 2521007
2021-08-06 11:15:00+05:30 2091.449951 1384997
2021-08-06 12:15:00+05:30 2091.699951 495260
2021-08-06 13:15:00+05:30 2089.250000 519644
2021-08-06 14:15:00+05:30 2088.899902 900637
2021-08-06 15:15:00+05:30 2090.500000 622952
2021-08-09 09:15:00+05:30 2077.100098 0
2021-08-09 10:15:00+05:30 2075.800049 284283
2021-08-09 11:15:00+05:30 2073.050049 492477
2021-08-09 12:15:00+05:30 2073.500000 650123
2021-08-09 13:15:00+05:30 2072.000000 408989
2021-08-09 14:15:00+05:30 2075.699951 450642
2021-08-09 15:15:00+05:30 2078.500000 260898

Please fix this or tell me if there is a way to get this data correctly.

Also, the BSE exchange (RELIANCE.BO) is able to report the correct volume for all hours. But the NSE exchange (RELIANCE.NS) has this issue.

[pranay2612]

Please let me know if there is a way to correct this.

[ValueRaider]

This is caused by Yahoo, they think 0 volume occurred in that first hour. E.g. look at their interactive chart with hour candles.