With dropped ticks, how is quantity calculated?

bdvk
"The API streams messages tick(s) every 700ms to 1 sec. Each message can contain ticks for multiple instruments.
It would be trade based. The exchange may send n number of ticks per instrument per second (usually 5-10 for very active instruments). The API streams the latest one of these ticks in the aforementioned interval."
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Suppose there are 5 ticks for RELIANCE in a particular second and the API sends only the last one--the
LTP and Last traded quantity for the 5th tick.

The LTP and last traded quantity for the earlier 4 ticks is missing.
The API transmitted cumulative quantity will show a jump not consistent with the ltp,quantity of the 5th individual trade tick.

So can we infer the traded quantity in the 4 missing ticks by subtracting latest individual quantity from jump in cumulative quantity, i.e.

total quantity in the 4 missing ticks = cumulative jump - quantity in the last trade (5th tick)

Is that correct analysis?


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Also, can we assume that the ticks from API are in increasing time sequence (timestamps) for each token, i.e. they are not out of order in time domain.
  • sujith
    Hi @bdvk,
    As we have mentioned on other threads, users can expect a maximum of one tick per second.
    We have been working on revamp of core APIs from past several months.
    In next version of websockets, we will increase the frequency of ticks.
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