historical data - is impact cost available?

is there a way to get 'impact cost' (derived from depth) in historical data?
  • rakeshr
    From what I understood as per definition on Nse, it's the average of the best bid and offer price at the given time in market depth.
    I don't think, it's possible to calculate this field from historical candle data, which has OHLCV.
  • sayali_ghosh1984
    @rakeshr Yes you are right, impact cost signifies the diff. in depth i.e. you buy all qunatities at 'ask' and simultaneously sell all qty at 'bid' - what is the loss you make.

    if you may henceforth include this and following in historical data, it will become very useful:
    1. impact cost calculated from 5 depth (buy all matching qty at ask and sell at bid, divided by average of bid/ask, order matching system followed per NSE method)
    2. MWPL filling status
    3. security under temporary ban status flag4.
  • sujith
    I am afraid we can't provide this. Kite Connect is purely an execution platform. We don't intend to provide solutions to write strategies. You can generate these at your end using the live market data provided via websockets API.
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