How do we calculate the volume for a certain period[1min/5min etc] from tick data.. for ex we are forming 1 min candles by aggregating ticks.. but how do we calculate the aggregate volume ? I read somewhere that we cannot use LastTradedQuantity... Can we use the incremental delta of "VolumeTradedToday" ie Volume=VolumeTradedToday-VolumeTradedToday[n-1]
Where VolumeTradedToday(n-1) is the VolumeTradedToday for the last tick
Hi, The volume data in Kite Ticker is cumulative. Let us say you want to calculate the volume in a minute interval. You subtract the volume of last tick of the minute and volume of the first tick.
volume of a minute = volume of first tick - volume of last tick
When there is no trade happening, you won't get ticks and it is normal. You can always cross check by adding the same instrument to your marketwatch on Kite.
Hi Sujith, Can you point me to the documentation for how to receive tick data through websockets. If websockets cannot send the tick data how else is it possible to receive the tick level data. Thanks, Rajesh
can somebody tell me what datas except OHLCV are accessible from kite connect api ? Can I get average traded price from the exchange end or we need to calculate the VWAP on a minute basis ?
Hi, I am getting huge differences in calculating volume via this: volume of a minute = volume of first tick - volume of last tick and comparing it with the volume we get when we download minute level data from historical API.
Basically I saved yesterday's tick data for Reliance and calculated volume for 12:24 minute via the formula given by @sujith . When I downloaded yesterday's minute level data via historical API, for the same minute, I am getting major differences in volume field in both methods. What should be the correct way. Kindly let me know.
The volume data in Kite Ticker is cumulative. Let us say you want to calculate the volume in a minute interval.
You subtract the volume of last tick of the minute and volume of the first tick.
Just discovered that for many symbols, i'm not getting even a single tick in a minute sometimes..
for ex: for instrument 194561 i did not even 1 tick in the 9:24 minute...
Let me know if this is normal??
Can you point me to the documentation for how to receive tick data through websockets. If websockets cannot send the tick data how else is it possible to receive the tick level data.
Thanks,
Rajesh
You can refer this documentation for java client WebSocket example.
can somebody tell me what datas except OHLCV are accessible from kite connect api ?
Can I get average traded price from the exchange end or we need to calculate the VWAP on a minute basis ?
Thank you all.
and comparing it with the volume we get when we download minute level data from historical API.
Basically I saved yesterday's tick data for Reliance and calculated volume for 12:24 minute via the formula given by @sujith . When I downloaded yesterday's minute level data via historical API, for the same minute, I am getting major differences in volume field in both methods. What should be the correct way. Kindly let me know.
You can go through this thread once.