Hi @nithin @siva , Does tick by tick data provided by NSE (COLO) contains market depth ? also what do they stream ? they stream all the transactions happening in exchange for all the stocks , futures , options ?
It will be great if you guys share some rows of sample data.
No, we need to create a depth out of it.
All the details they stream like trades,bids, offers etc on all contracts we subscribe to.
Raw data is of no use, we need to process it, you can consider for example instead 5 depth we can create full depth, either 20 or 50 or more.
Yes we need to process but what is it ? is that binary data ? json ? does it contains bids and offers limit orders for all the price ?
@nithin : thank you , this TBT is for realtime vendors or for colo users and does this contain level 3 data ?
One realtime vendor told everyone gets only level 1 data , except few like bloomberg.
The tick data in India is actually pegged to one second but where as in reality a tick is just one single transaction. There could be many transactions in a second but this sort of data is not available to retail traders here in India but widely available everywhere else in the world. Similarly, the lvl2 and lvl3 data are just limit orders that are highly unreliable since they are delayed by 1 second as well.
By the time the one second data filters through the html and eye candy BS you are witnessing a delayed feedback already.
This whole thing is a professionally orchestrated scam designed to give an edge to traders on the floor.
hmm… to get TBT data you need to take a rack at the exchange colo, place your servers there and consume the data. It isn’t just level 3, it is all data. Every trade, order modification, cancellation, essentially every tick change is provided to you. As you can imagine it is a lot of data, and hence you need to have your server on the colo to consume the feed and can’t be streamed on internet or even high capacity leased lines.
Currently you need to either be a broker or exchange empanelled vendor to get space on the exchange colo.
Can you please share some vendors who provide shared COLO, I really want that tick data for around 20 to 30k per month
Hmm… don’t know of any. Maybe you can reach out to this list directly and check.
They just provide level 1 ticks
Then wait for few more weeks, we will come out with something useful to you.
Hi @siva,
Any updates on this?
Somebody providing this data now. I didn’t find any retail servicing vendor providing the same.
