The meanings of market data columns are given in the documentation at: https://kite.trade/docs/connect/v3/market-quotes/ A small snippet is below: But it is unclear as to what exactly these mean. Please see the the table below and help me address following queries: 1. Are buy_quantity and sell_quantity *traded* quantities or submitted orders? 2. Each of volume, buy_quantity and sell_quantity (from the large figures) look like cumulative since start of the day, is that true? 3. If the above is true and buy_quantity and sell_quantity should only increase? Why is it reducing in this small snippet? 4. Or are buy_quantity and sell_quantity adjusted for cancellations? Please give me exact definitions! 5. What exactly is average_price? If it is volume weighted average price of all the trades since morning then it should have more decimals then 2. Is it essentially rounded to two decimals after averaging?
So are you saying Zerodha has no idea about what exactly these column mean? I asked very specific questions, and the table is there to motivate why I got those doubts. Where do I go now to resolve this? To the exchange?
buy_quantityandsell_quantityare summation of 5-level market depth. It says at a given point, how many top 5 buyers and sellers exist.2. Not entirely, only volume is cumulative.
3.
buy_quantityandsell_quantityincrease or decrease based on market interest/trend4. Yes
5. Not sure what the
average_priceis. Description is missing from the documentation! (@sujith)