Cheapest data provider for ami broker

travi

Well-Known Member
#63
Any data vendor who provides candles in seconds? Minimum I have come across is 1 minute, can anybody provide in seconds?
You get data tick by tick, and that should be capable of being parsed by any trading platform.

By definition, a candle has a open, high, low and close, and the shortest data point is a tick that in current years is a second.
How would you plot the candle in the first place? it would be a dot, because your tick data would be a unit value.

Even if this worked, and you plotted the data, it would be line against a second-TF similar to how any MA is drawn.

AFAIK, you'd have to check for historical data providers and their terms.
Make sure you look for a Co-Lo in the NSE exchange farm as well :)
 
#65
You get data tick by tick, and that should be capable of being parsed by any trading platform.

By definition, a candle has a open, high, low and close, and the shortest data point is a tick that in current years is a second.
How would you plot the candle in the first place? it would be a dot, because your tick data would be a unit value.

Even if this worked, and you plotted the data, it would be line against a second-TF similar to how any MA is drawn.

AFAIK, you'd have to check for historical data providers and their terms.
Make sure you look for a Co-Lo in the NSE exchange farm as well :)

In this HFT era 1 second is a long time. Though, it looks like we have 1 trade per second, but the fact is that many trades take place in 1 second. So, candle will not be dot, but will have OHLC.
 

travi

Well-Known Member
#67
In this HFT era 1 second is a long time. Though, it looks like we have 1 trade per second, but the fact is that many trades take place in 1 second. So, candle will not be dot, but will have OHLC.
I am aware of HFT, and no one assumed that it is 1 trade per second.
The number of trades cleared have nothing to do with tick data, all orders are lined up in a FIFO Queue , one each, for B and S.
You can read how NSE has a distributed server n/w to handle and balance traffic and how each server syncs with the others etc, will skip that and stick to the topic.

Trades are executed based on matching prices, and partial orders tend to go through what is known as slippage.

The millisecond fight is just to get ahead in the FIFO Q, and the HFT I know use market orders bcos Limit orders have a high miss ratio.

The tick data with its current timestamp in secs relayed is based on LTP, Best 5 Buy and best 5 Sell only, hence, the candle being a dot.
 

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