@arulchellappa, You can opt for colo setup at the exchange, it may cost you upwards of 18 lakhs per annum. You can capture all the ticks at the exchange. You can send a mail to kiteconnect(at)zerodha.com, someone from our team will help you with the process.
@sujith , I just asked if you were sending more than one update per second with the same time stamp, capturing that may be random, so if the millisecond support is added in your timestamp , we may add it to our time stamp for reducing the slipage...In short providing more than one tick at the same timestamp is not going to help..
Im not doing High frequency trading for co-location
'mode': 'full',
'instrument_token': 55683079,
'last_price': 48594.0,
'last_quantity': 1,
'average_price': 48862.11,
'volume': 12278,
'buy_quantity': 350,
'sell_quantity': 295,
'ohlc': {'open': 49262.0, 'high': 49262.0, 'low': 48545.0, 'close': 49480.0},
'change': -1.7906224737267582,
'last_trade_time': datetime.datetime(2020, 11, 24, 19, 32, 52),
'oi': 4526,
'oi_day_high': 4926,
'oi_day_low': 4498,
'timestamp': datetime.datetime(2020, 11, 24, 19, 33, 7),
'depth': {'buy': [{'quantity': 1, 'price': 48587.0, 'orders': 1},
{'quantity': 3, 'price': 48582.0, 'orders': 3},
{'quantity': 3, 'price': 48581.0, 'orders': 3},
{'quantity': 4, 'price': 48580.0, 'orders': 3},
{'quantity': 1, 'price': 48578.0, 'orders': 1}],
'sell': [{'quantity': 2, 'price': 48593.0, 'orders': 2},
{'quantity': 2, 'price': 48597.0, 'orders': 1},
{'quantity': 2, 'price': 48598.0, 'orders': 1},
{'quantity': 1, 'price': 48599.0, 'orders': 1},
{'quantity': 1, 'price': 48601.0, 'orders': 1}]}}
You can look at this and this thread.
You can opt for colo setup at the exchange, it may cost you upwards of 18 lakhs per annum. You can capture all the ticks at the exchange. You can send a mail to kiteconnect(at)zerodha.com, someone from our team will help you with the process.
Im not doing High frequency trading for co-location