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Tick frequency Details

ANL
ANL edited February 26 in Python client
Hello,
@sujith @rakeshr
I would like to confirm that the frequency of ticks has increased. Currently, I am getting 2 ticks to 3 ticks (sometimes) per second, with 2 ticks getting regularly.

1. Before, we used to receive only 1 tick or a maximum of 2 ticks. Is there any internal or external reason for these fluctuations? Do we consider this an abnormality or are there more trades happening during this time?

2. first tick [2024-02-26 09:18:04,246] INFO: [{'tradable': True, 'mode': 'full', 'instrument_token': XXX 'exchange_timestamp': datetime.datetime(2024, 2, 26, 9, 18, 04)

second tick [2024-02-26 09:18:04,657] INFO: [{'tradable': True, 'mode': 'full', 'instrument_token': XXX 'exchange_timestamp': datetime.datetime(2024, 2, 26, 9, 18, 04)
The first tick log shows that the tick time is 09:18:04:246 but the exchange traded time is not showing milliseconds. At which time can we consider the exact time tick arrived: 09:18:04:246 or 09:18:04 ? Why is the exchange not including milliseconds?

4. Are there any points to consider in milliseconds if we get multiple ticks in one second? or The first tick log shows that the tick time is 09:18:04:246 but the exchange traded time is not showing milliseconds. At which time can we consider the exact time tick arrived: 09:18:04:246 or 09:18:04
5. Are there any points to consider in milliseconds if we get multiple ticks in one second? or consider multiple ticks in one second without including milliseconds?
Tagged:
  • ANL
    ANL
    It would be helpful if someone could respond to the query.
  • Matti
    Matti
    The exchange feed tick frequency has increased by 2x. That is what you're seeing.
  • tradernoob
    tradernoob
    @Matti Can you please cite a source for the same? I am still receiving 1 tick for each different exchange_time on average.
  • MAG
    MAG
    Same here python client gives the ticks as a list of dictionaries instead of individual ticks like in golang. And I get an average of 100 ticks per minute or 37500 (+-0-10) ticks per day. And this has not changed in the last few days.
  • Matti
    Matti
    Ah. @MAG @tradernoob I was wrong. My bad. This hasn't gone live yet. Here's the NSE circular: https://nsearchives.nseindia.com/content/circulars/MSD60724.pdf

    This will only take effect in April.
  • MAG
    MAG
    @Matti Thanks for the update and the link to the circular.
  • tradernoob
    tradernoob
    @Matti thanks for the update. Is there any clarification on whether we will now receive millisecond precision in exchange time now?
  • rakeshr
    rakeshr edited February 29
    Is there any clarification on whether we will now receive millisecond precision in exchange time now?
    We might look into adding millisecond-timestamp precision feasibility.
  • tradernoob
    tradernoob
    Thats great! Thanks!
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