Order Flow heatmap tool

#1
Hi

Just logged in to my account after 8 years, this forum helped me in my initial years. Now i am a fulltime option writer, married and had kids...

Now back to the problem, I had been using some great tools available to me when I was trading in us markets, One of particular i liked was order book heatmaps. Orderflow/footprint chart experts would understand this immediately. So to implement this on Indian stocks I need order book feed which as per to my knowledge is limited to a maximum 20 levels in NSE L3 data, is there is a way to get whole order book?
 

Tejas Khoday

Co-Founder & CEO, FYERS
#3
Hi

Just logged in to my account after 8 years, this forum helped me in my initial years. Now i am a fulltime option writer, married and had kids...

Now back to the problem, I had been using some great tools available to me when I was trading in us markets, One of particular i liked was order book heatmaps. Orderflow/footprint chart experts would understand this immediately. So to implement this on Indian stocks I need order book feed which as per to my knowledge is limited to a maximum 20 levels in NSE L3 data, is there is a way to get whole order book?
You'll have to subscribe to it on NSE. Unless the exchange makes the availability of information uniform to all participants, there won't be a level playing field. Currently, they provide Level 2 data (Best 5 bid/offers) to brokers and data vendors.
 

rpsvinod

Well-Known Member
#4
You'll have to subscribe to it on NSE. Unless the exchange makes the availability of information uniform to all participants, there won't be a level playing field. Currently, they provide Level 2 data (Best 5 bid/offers) to brokers and data vendors.
May be he expect Level 3 data or TBT data support.(Tick by Tick)
 

Tejas Khoday

Co-Founder & CEO, FYERS
#5
May be he expect Level 3 data or TBT data support.(Tick by Tick)
Level 3 data provides the top 20 bid/offers.

The thing with TBT is that it sends a LOT of data and can show hundreds/thousands of trades per second on liquid scrips. I used to use this a few years ago but discontinued it due to the costs involved. Just not worth it unless you're an HFT trader or something on those lines.