Getting Net volume for tick instead of Volume traded for the day

RajR
Is there any way to get the net volume for the tick directly from the Web socket feed? Currently I am finding the difference of current ticks getVolumeTradedToday() to the previous ticks getVolumeTradedToday().

  • sujith
    It is a cumulative volume that is published by the exchange. You will have to continue whatever you are doing.
    But a trading platform doesn't receive all the ticks. You can check out this discussion.
  • RajR
    Thanks @sujith . I have read Mr Nithins' write up on the tick data. I understand there will not be exact match. The issue with calculation is; if there is some drop in connection at my side and when restart happens, the new candle formed will show huge volume (Current volume - Volume many candles back). I guess I have to identify and drop such candles from analysis. If you have any others thoughts about handling this; please let me know.
Sign In or Register to comment.