Calculating Volume from TickData

stocksigma
Hi,

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

Please advise...
Tagged:
  • sujith
    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
  • stocksigma
    Hi Sujit, Thanks, will check and get back to you
  • stocksigma
    Sujith,

    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??
  • sujith
    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.
  • rajeshkolagatla
    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
  • rakeshr
    @rajeshkolagatla
    You can refer this documentation for java client WebSocket example.
  • SAPANKHUNTIA
    hi everybody

    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.
  • rakeshr
    Can I get average traded price from the exchange end or we need to calculate the VWAP on a minute basis ?
    You can get it from Websocket Streaming. Check field details in this documentation.
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