How Time and Sales window is constructed

Hello everybody,

I have arranged tick data from NSE and BSE with last traded volume,price and time of execution.

Those of you who are accustomed with time and sales data from good vendors like eSignal or others must have seen that each of the entries (individual lines) in the T&S window, is either:

1. Marked red (sell volume) or green (buy volume). OR
2. Contains an additional column which says "at bid" or "at ask".

I am trying to design Time and sales window myself. I just want to know how this distinction can be achieved (red/green OR "at bid"/"at ask") from Real time data which contains only:

1.Price of execution
2.Time of Execution
3.Volume traded

Based on your replies, I will get back to you whether I will implement Java or Afl or something else to build that Time and sales window. And if you wish, I will make it available for all of you .


Any additional information is welcomed

Starzz, Marking of rows in RED and GREEN is done based on whether trade is done at bid or ask..not based on buy volume/sell volume as you mentioned. Buy volume will always be equal to sell volume for completed trades.


Besides the above 3 parameters, you also need 4th info for T&S about condition of execution i.e. the trade was done @Bid or @Ask. In absence of this info (which is real time), it is difficult to draw professionally looking T&S.

If trade is done at BID (i.e. buyers price), it is marked in RED indicating that sellers are aggressive and hitting the buyers price, hence buyers will be able to reduce the Bid and still get filled. This pattern indicates lower prices to come..hence in RED.

When trade is done at ASK, then it is marked in GREEN i.e. buyers are aggressive hence sellers are going to raise their ASKing price..i.e. higher prices to come.

If I want to go long, then I need to see that ASK is being hit, i.e. trend of Green rows..which gives confidence that my position will be in profit immediately.

hope this helps
All the best for your project.

Hi AW10,

Where and How to get this 4th parameter?
Does NSE/BSE provide this 4th info along with tick data?

Can you please tell me in what format (all different parameters) NSE/BSE release their data?

Please show me if you have sample data.

Thanks

Dear Starzz,

1.T&s is already available in sw's like Ninja trader.

2.What is the NSE data cost and who is the vendor ?
How different is the data quality from e-signal ?

TIA.

Hi JaganKris,

1.Can you please show me a screenshot of Ninjatrader T&S for any NSE/BSE stock?

Also, please tell me about their monthly charges....

2.The vendor is Falcon. Check their website here: http://www.reliable.co.in/Falcon/falcon7.aspx

Hi JaganKris,

1.Can you please show me a screenshot of Ninjatrader T&S for any NSE/BSE stock?

Also, please tell me about their monthly charges....

2.The vendor is Falcon. Check their website here: http://www.reliable.co.in/Falcon/falcon7.aspx

Hi Starzz,

Ninja Trader is just a sw.
If the data is fed one should be able to get the T&S data displayed in the T&S window.

Is it possible to fetch the data out from Falcon ?
The cost seems to be cheaper compared to e-signal .

Thanks a ton.

Thanks JaganKris.

1.As you probably know that all data vendors do not support T&S. They simply don't incorporate "at bid" or "at ask" with their quotes. If their data is fed into any SW like ami or ninja, there is a doubt whether the T&S window will actually work or not.

Keeping that in mind, can you mention those data vendors, whose data supports T&S information?

2.Normally, it is not possible to fetch data out of Falcon. But I am writing codes to do that.

3. Can I add u in my yahoo/gmail chat? Pls tell me ur chat ID(s) by personally msging me here.