Data request for Nifty futures

[des]

Hi, I am testing some ideas and new to trading. I need

1) One minute or 5 minute top of the book ( best bid and offer price/size/trades )
for Nifty 50 futures, Nifty and Bank Nifty futures for front/mid and back months

Also I want to know if

1) Do all futures in Nifty have a 3 month expiry schedule
2) Where can I find individual futures expiry schedule information
2) How do people roll to the next future, is there a calendar spread product that you can sell to save two ticks instead of selling the naked legs?

I am new to the forum and will be grateful if someone could help. Many thanks.

 

[nac]

1. You can get EOD and IEOD data from this website.
http://www.tradewithme.me/data-archives-for-technical-analysts.html

1) Yes, Nifty futures contracts have 3 months life...
2) All the future contracts expires on last thursday of it's expiry month. (nseindia.com)
3) To roll to the next month contract, cover this month's and enter next month's

 

[des]

Thanks for the reply nac. Unfortunately I am looking for more. As I mentioned I need the top of the book stats. In other words I need both the sizes and prices on the top of the book i.e the best bid and the offer, both price and size. Also I need that going back atleast 3 years or so. Can I get that data somehow? Please help.

 

[nac]

Oh!
As far as I know, I don't think such data exist.

Savant may know about this. He is one among the few I know of who used tape reading technique in his trades... But it seems like he isn't active here in TJ. Probably in hibernation mode

 

[des]

Really is that so? How do you guys trade it then, I mean can you not capture all that information from the real time feed. I am sure that the real time feed that is used by sophisticated trading houses in India do have the information on say the top 5 levels of the bids and the offers, including prices and sizes. Am I wrong here? Many thanks.

Also does anyone know how Bank Nifty is constructed? I found 2 conflicting weight schemas for the construction. Not sure which one is correct.

 

[nac]

Yeah, market depth is available when trading. But like EOD data??? I don't know...

 

[des]

Hi I finally had a chance to grab and make sens of this data. But was not super impressed. The data is very spotty and the accuracy is perhaps not good. For instance prices of BANKNIFTY Futures on April 28th, 2012 are missing from 13:48 hours until the close. Also I see prices at 15:31 hours, which are after the close??
Any thoughts, or ways to obtain cleaner data?