Quality of TICK data

cskasm
Does it provide data at every TICK (including the information of tick type, like; new order (limit, ioc, market etc.), modification, cancellation, trade as well as side i.e. BUY side or SELL side) or at least at every TRADE TICK (including the information of trade side i.e. TRADE occurred at best BID or TRADE occurred at best ASK) for banknifty options?
I know NSE provides tick data in binary format. In which format does it provide data?
I have watched youtube videos on kite-connect data feed. The data comes through kiteticker is snapshot data, NOT TICK data. Total no of ticks for ATM strike on expiry day for BANKNIFTY options is around 4-5 crore. Binary file size is at least 2GB.
Does it impose any restriction on the number of levels in the depth of orderbook data? I know all levels could be extracted from the TICK data that comes in binary format.
Does kite-connect offer lease line (co-located server) on a rental basis? If so, how much is the charge for 40 messages and 400 messages lease line?
  • sujith
    sujith edited October 11
    @cskasm,
    You can check out this thread.

    Kite Connect doesn't have any relation to colocation server setup at the exchange. Zerodha can help you setup lease lines.
    It costs upwards 18 lakhs/annum. You can write to kiteconnect(at)zerodha.com, if you are interested.
    Someone from the relevant team will get back to you.
  • cskasm
    @sujith,
    Based on the discussion at the thread, you mentioned, if Zerodha doesn't receive Tick data how do they calculate VWAP. VWAP calculation requires data, at least, at every Trade Tick.
  • themohammedfaisal
    @cskasm ,

    The Average price(VWAP) in the market depth is part of the exchange feed and we display it directly.

    The VWAP in charts is calculated using the limited number of ticks(not tick by tick) we receive in the broadcast.
  • cskasm
    @themohammedfaisal ,
    If VWAP is calculated with limited no of ticks, then it wouldn't match with the actual value.

    However the major issue with this type of limited tick or snapshot data is, one major information is missing. The side of Trade, whether trade occurs at BID1 (buy side trade) OR at ASK1 (sell side trade). They provide only the total trade volume and VWAP. Once the total is provided there is no way to bifurcate these without the data at every Trade Tick. Instead of the two information (TotalTradedVolume and VWAP), bifurcation of each (total four) could easily be provided; TotalBuySideTradedVolume, TotalSellSideTradedVolume, AverageBuySideTradedPrice, AverageSellSideTradedPrice. If someone needs the total they could simply add them (in case of VWAP, needs to be weighted with volume before the sum).

    I wonder why they always provides the total and not leave it up to us to sum up (whichever way we would prefer).
  • themohammedfaisal
    themohammedfaisal edited October 13
    @cskasm,
    Well, I get what you are saying that you want to know if the trade occurred at Best Bid or Best Ask but you'd only be able to identify by reading all ticks and matching with the market depth in that 100th of a second.
    The exchange disseminates these fields to brokers and brokers to clients. This information seems to have been sufficient for retail clients. Also, there is only so much data you can push over the internet without losing the time sensitive accuracy.
  • cskasm
    @themohammedfaisal ,
    This information acts as a major indicator. If the broker receives this, they should provide it to the clients.
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