Does any vendor provides TRUE TICK DATA for NSE?

#1
Hi all,
For tick data, I have tried trial version of true data and downloaded sample of globalfeed.

1. Truedata only provides volume and timestamp for tick data
2. Global feed provides last traded volume along with last traded price.

But both of them misses to provide whether the trade was buy or sell.

As per NSE, their tick data does consist of bought,sold,price and volume.

I do understand that tick data has huge volume and normally it is provided in consolidated fashion. But not having exact trade direction along with tick data defeats the very purpose of buying tick data.

So, my question is : Is there any vendor which provides the actual tick data, even if it is delayed by 1 min or snapshot of 1 sec or 10 sec or even 1 min .. it is fine..
But is there anyone who provides it?

My Second question:
If actual direction of trade is not available in tick data , then how come GOMI,BELL or any other plugins are able to calculate Order Flow , as direction of trade is not known, so all i am guessing is : they are making intelligent guess on which side trade was done which is wrong and it defeats the purpose of using order flow.

or are we referring order flow as DOM(Depth of market for BID/ASK ??) My understanding of order flow was to be footprint chart.
I do understand we are nowadays using these terms interchangeably.
Or is my understanding flawed somewhere?

Please help me understand or know where can i get actual tick data for NSE or if u know someone who might know, please tag them.
 
#2
i think what you are asking for is DMA feed. brokers have many restrictions from SEBI and exchange floors so most of them any how cant provide you from front end. ask exchange floor directly but be ready to pay hefty charges. or if you read this reply many times you might understand alternatively where to ask for.
 
#3
The things u need to get clear here.

1. NSE itself doesnt provide Tick By Tick (TBT) data to any retail desk. Yes, brokers with colocated servers get the TBT data and they r faster then u can understand. Many prop algos run on those servers. And they have unlimited depth available ( not just regular 5 bid ask we get or 20 provided by zerodha )

2. How Gomi or any other Orderflow packages calculate whether it was a buy/sell trade... To be honest , there is nothing like buy/sell in the market. its a kind of 0 sum game. U sell someone buys from u. Now, lets check how do they calculate it, its fairly simple, if ur getting realtime bid/ask data via ur data provider (TDI and GFDL provides that i guess) , if the trade goes at Bid it adds to that side and same goes for Ask. So all n all ur just trying to make something meaningful from those FP charts.

Also in absence of Bid/Ask data , most of the packages r able to build delta from uptick / downtick data. Which is again fairly easy to do.

Now lets come to ORDERFLOW itself. Earlier when the technology wasnt this advanced, or we didnt have such fancy footprint indicators and systems based on them. Floor traders used to do TAPE READING. Which was a kind of combination of current market orderflows ( live bid/ask market trades) and also resting orders (DOM). That is the basic, and trust me that will remain basic to know the direction of the market. What these softwares / indicators provide u is a fine representation of the same. U urself will need to find out what is the outcome of the given FP chart.

My personal experience with FP has been good, when i was a scalper it helped me alot to get in and out of the trades quickly years back. But now scene is different, robots trading everywhere, so orderflow is also quite messy at times, also i m not scalping anymore. I've tuned myself for 3-5 trades a day (MAX). Earlier there were used to be 10x or more then that.

So, if ur psyche supports this type of trading, u should dive deeper into FP charts. Or else try learning basic tape reading to avoid whipsaws in intraday trades.

Hope this helps,..

Best luck
 
#4
@nadiyakinare and @trade4learn thanks for the valuable input, so i assume order flow which gets created with tick data from retail vendors is nothing more than guesstimate(guessed estimate or intelligent guess).

as @trade4learn has pointed out, nowadays there are lots of bots looking for either scalping or generating false signal.. thats why i was very much adhering to first understand how order flow or footprint chart is generated in the absence of basic data ( which side trade was done).
Thanks once again . :)
 

McNish

Active Member
#5
Hello,
am doing a case study on the subject of "Market Micro Structure" and have some queries. Hope someone can answer them or point me in the right direction for the answers.

1. As i have understood so far, no broker provides True TBT data on their charting platform, or am i wrong?
2. All orders, of the most common types (Limit, Market, SL, SLM), are first sent to the broker's servers, from there it goes to the brokers RMS, and then sent to the exchange servers. That is how order routing works? Or is there an exception at times?
3. The Order filling is done at the Exchange level and not at the Brokers level.
4. The filling is done with the "Price Time Priority" mechanism.
5. Each filled price is the LTP (Last Traded Price), with a micro second time stamp, which in turn is what is called as a "Tick".

That's all for now, more queries later. Hope to get a response from fellow traders.
:)
 

mohan.sic

Well-Known Member
#6
Hello,
am doing a case study on the subject of "Market Micro Structure" and have some queries. Hope someone can answer them or point me in the right direction for the answers.

1. As i have understood so far, no broker provides True TBT data on their charting platform, or am i wrong?
2. All orders, of the most common types (Limit, Market, SL, SLM), are first sent to the broker's servers, from there it goes to the brokers RMS, and then sent to the exchange servers. That is how order routing works? Or is there an exception at times?
3. The Order filling is done at the Exchange level and not at the Brokers level.
4. The filling is done with the "Price Time Priority" mechanism.
5. Each filled price is the LTP (Last Traded Price), with a micro second time stamp, which in turn is what is called as a "Tick".

That's all for now, more queries later. Hope to get a response from fellow traders.
:)
Good evening McNish

2. Yes you are right. That's how routing is done.
However brokers can also route the order without the order going through its rms. They have different terminals for this. These terminals/ application are not provided to clients. They are generally used at some important trading locations for placing client orders on emergency situations ( I know this because I got my orders placed few times through this ) and may be they are also used by brokers risk managers.

3. Yes

4. Yes "Price Time Priority" mechanism. However an order with disclosed quantity may lose time priority for subsequent quantities ( disclosed ) after the initial fill.

6. I think yes technically each trade print should be a tick ( with stamp of qty, price and time ). But it is diluted in the sense - We may get 1 second data as tick data where this one second could actually comprise 10 or 20 trades ( ticks ) in that one second. Similarly sometimes a count of 50 or 100 trade prints combinely will be given as one tick. So we must get this clarity before we look at something as Tick.


btw if there is no issue, can you share details on the case study you are doing "Market Micro Structure"

thanks.
 

mastermind007

Well-Known Member
#7
Hi all,
...
But both of them misses to provide whether the trade was buy or sell.
....
.
Tick data is historic record of a trade data that happened... For a trade to happen, one party bought it and another sold. So, how can it be labelled as Buy vs Sell tick?
 

mohan.sic

Well-Known Member
#8
Tick data is historic record of a trade data that happened... For a trade to happen, one party bought it and another sold. So, how can it be labelled as Buy vs Sell tick?
Yes both buy and sell will make a trade.
For purpose of study/analysis- If the trade happens at bid price the volume is labelled as buy volume and vice-versa.
 

McNish

Active Member
#9
Hello Mohan Ji,
Thank You for the elaborate response. continuing the discussion further, ...

2.
However brokers can also route the order without the order going through its rms
i beg to differ.
in that case, how can the broker know if the clients order is within the margin limits. in my understanding, the RMS mechanism is "one on the pillars" of sanctity. Else the client could be chewing more than he / she can digest. A different terminal at a different location could be for something else maybe? Maybe the client is a Big Ticket participant and for such participants, the RMS check could be curtailed in order to beat the que. But other than exceptions like this, the order of a regular client would have to go through the RMS check. IMO !

4.
Yes "Price Time Priority" mechanism. However an order with disclosed quantity may lose time priority for subsequent quantities ( disclosed ) after the initial fill.
is there a typo in here?
even otherwise, i could not understand your point. Kindly explain once more, in a little more detail.

6.
But it is diluted in the sense - We may get 1 second data as tick data where this one second could actually comprise 10 or 20 trades ( ticks ) in that one second.
i agree.
Who is the We in here? the client?
thus the supposed Tick is reflected on the client's terminal and quoted as LTP?
Despite that, how about the order filling? is that also done on the compressed tick? even though the order is filled at the exchange level?

Yes both buy and sell will make a trade.
For purpose of study/analysis- If the trade happens at bid price the volume is labelled as buy volume and vice-versa.
if both buy and sell together make up a trade, then it becomes a "Zero Sum Game", as stated by the fellow members above and u too agree. so an ask price is filled against a bid price. Then why the partiality of labelling it as a buy volume? why not sell volume?

... share details on the case study ...
let me dig some more and i shall share with you.

Your turn please, cheers & regards, :)
 

mohan.sic

Well-Known Member
#10
Hello Mohan Ji,
Thank You for the elaborate response. continuing the discussion further, ...

2.
i beg to differ.
in that case, how can the broker know if the clients order is within the margin limits. in my understanding, the RMS mechanism is "one on the pillars" of sanctity. Else the client could be chewing more than he / she can digest. A different terminal at a different location could be for something else maybe? Maybe the client is a Big Ticket participant and for such participants, the RMS check could be curtailed in order to beat the que. But other than exceptions like this, the order of a regular client would have to go through the RMS check. IMO !

4. is there a typo in here?
even otherwise, i could not understand your point. Kindly explain once more, in a little more detail.

6. i agree.
Who is the We in here? the client?
thus the supposed Tick is reflected on the client's terminal and quoted as LTP?
Despite that, how about the order filling? is that also done on the compressed tick? even though the order is filled at the exchange level?

if both buy and sell together make up a trade, then it becomes a "Zero Sum Game", as stated by the fellow members above and u too agree. so an ask price is filled against a bid price. Then why the partiality of labelling it as a buy volume? why not sell volume?

let me dig some more and i shall share with you.

Your turn please, cheers & regards, :)

before that may i know if you have any trading experience and are you in college or a emplyee with some experience. This is bcz, only with some practical exp you will find it easy to get clarity.
 

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