I am not able to understand why the last traded price would change without change in volume. Even the bids-asks and all other fields are unchanged. What shall I interpret from such observations (9:15, 9:18, 9:20 from screenshot)? 1. Market buy order got matched with market sell order. 2. Exchange was rather slow to incorporate this particular field. (I am rarely suspicious on this assumption) 3. Limit buy order matched with limit sell order.
This also raises another question. When is the volume updated? Is it that if the orders are queued (specifically limit orders) then only exchange can update the volume field correctly?
The exchange has two sources for their market data feed, which are provided to brokers and other market participants. Although the data is generally the same, there may be differences in the Last Traded Price (LTP) as different trades might be captured simultaneously. However, the volume and other fields remain consistent. Unless you are subscribed to tick-by-tick data co-located at the exchange, you are only seeing 1-2 ticks per second, while there might have been thousands of trades executed at different prices within the same second.
On Kite, we publish the combined data from both feeds.
"On Kite, we publish the combined data from both feeds." Are you talking about kite connect websocket or kite charts? When you say that there are different sources of data feed, aren't we supposed to get feed (on websocket) only from 1 source which is meant for market participants?
I understand that tick-by-tick is out of question. Even if there are thousands of trades within a second, I was assuming volume field to reflect each trade. This means that my 2nd assumption was right though it is hard to believe. "2. Exchange was rather slow to incorporate this particular field. (I am rarely suspicious on this assumption)" But for which source is this true? This question arises only if the feed received on websocket are combined from 2 different sources.
If screenshot is analyzed carefully, the LTP difference is quite big (10-20 rupees) and that too with no volume.
Are you talking about kite connect websocket or kite charts? When you say that there are different sources of data feed, aren't we supposed to get feed (on websocket) only from 1 source which is meant for market participants?
What Faisal means is that the exchange has 2 streams of data. 2 parallel streams. They're supposed to act as fallbacks for each other.
But for which source is this true? This question arises only if the feed received on websocket are combined from 2 different sources.
In that case, can I say that one source is sending volume as 0 and other source is not? Or these streams are computed and combined first then streamed on WS?
Basically, you will see a higher frequency of LTP updates in both streams combined compared to volume and other data fields in the packet. While most brokers will show only 1 source and switch to the other when the feed is down at the exchange, we thought more ticks will be improve the quality of data for our traders.
Price changed that means trade happened and there should be some volume. At least this is what my understanding is. How can price change without trade(volume)? Or rather question will be why exchange is sending only LTP change while other fields remaining constant including volume?
What you get from live market data is not tick by tick data, it is just a snapshot data. There can be hundreds of ticks in a second at the exchange, only one or two are streamed via internet. You can know more here.
So you could get 2 consecutive ticks where the LTP is 2 different values for the same instant since there are multiple ticks are possible at the same instant in time. In such cases, both ticks will have recorded the same volume, since that isn't subject to change in such a scenario, hence your observation. This isn't a failing in the system, but rather just what it is.
The exchange has two sources for their market data feed, which are provided to brokers and other market participants. Although the data is generally the same, there may be differences in the Last Traded Price (LTP) as different trades might be captured simultaneously. However, the volume and other fields remain consistent. Unless you are subscribed to tick-by-tick data co-located at the exchange, you are only seeing 1-2 ticks per second, while there might have been thousands of trades executed at different prices within the same second.
On Kite, we publish the combined data from both feeds.
This is confusing me right now.
"On Kite, we publish the combined data from both feeds."
Are you talking about kite connect websocket or kite charts? When you say that there are different sources of data feed, aren't we supposed to get feed (on websocket) only from 1 source which is meant for market participants?
I understand that tick-by-tick is out of question. Even if there are thousands of trades within a second, I was assuming volume field to reflect each trade. This means that my 2nd assumption was right though it is hard to believe.
"2. Exchange was rather slow to incorporate this particular field. (I am rarely suspicious on this assumption)"
But for which source is this true? This question arises only if the feed received on websocket are combined from 2 different sources.
If screenshot is analyzed carefully, the LTP difference is quite big (10-20 rupees) and that too with no volume.
How can price change without trade(volume)? Or rather question will be why exchange is sending only LTP change while other fields remaining constant including volume?
So you could get 2 consecutive ticks where the LTP is 2 different values for the same instant since there are multiple ticks are possible at the same instant in time. In such cases, both ticks will have recorded the same volume, since that isn't subject to change in such a scenario, hence your observation. This isn't a failing in the system, but rather just what it is.