For a given options contract for eg. NIFTY 05JUNE 24600 PE, at a 1M timeframe, I would like to know how much was the BUY volume, SELL volume. Currently, what I see is the total volume for that period.
I am a newbie - what is such a feed called ? level 2 data ?
- Is this data available in zerodha websockets API ? Or can I somehow calculate it ?
- Does platform like trading view have this data and can it be accessed via pinescript in my strategy
- Does anyone know any platform that provides such data
Yes, volume data is available in Kite connect API. You may refer to this link for more details.
A market data feed is a continuous stream of real-time trading information (prices, volumes, bids, asks, etc.) delivered from exchanges or data vendors to subscribers. This feed can include Level 1 (best bid/ask), Level 2 (market depth), Level 3 (full order book), or tick-by-tick data, depending on the subscription
Level 2 data specifically refers to real-time order-book information showing multiple bid and ask price levels and associated quantities, revealing market depth beyond the top-of-book. Read more.
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